Results 291 to 300 of about 275,321 (335)

“On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009

North American Actuarial Journal, 2009
(2009). “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009. North American Actuarial Journal: Vol. 13, No. 2, pp. 272-277.
Hans U. Gerber, Elias S. W. Shiu
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DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS

ASTIN Bulletin, 2013
AbstractThe finite-time ruin problem, which implicitly involves the inversion of the Laplace transform of the time to ruin, has been a long-standing research problem in risk theory. Existing results in the Sparre Andersen risk models are mainly based on an exponential assumption either on the interclaim times or on the claim sizes.
Shi, Tianxiang, Landriault, David
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It’s Time to Retire Ruin (Probabilities)

Financial Analysts Journal, 2016
Concerned about the growing use of ruin probabilities as the guiding risk metric for retirement income planning, the author introduces the idea of portfolio longevity being parallel to the biological longevity of human life and discusses how to educate clients regarding the most important factors influencing their money’s longevity.
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On the time to ruin and the deficit at ruin in a risk model with double-sided jumps

Statistics & Probability Letters, 2008
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xing, Xiaoyu, Zhang, Wei, Jiang, Yiming
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Lundberg-type Bounds and Asymptotics for the Moments of the Time to Ruin

Methodology and Computing in Applied Probability, 2008
In this paper, the authors study the k-th moment of the time to ruin in a classical ruin risk model (the 0-th moment being the probability of ruin). For the k-th moment of the time to ruin, they obtain analogues of Lundberg's inequality, and asymptotic behavior under the assumption that the Lundberg adjustment coefficient exists.
Dermitzakis, Vaios, Pitts, Susan M., Politis, Konstadinos   +2 more
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Upper bounds on the expected time to ruin and on the expected recovery time

Advances in Applied Probability, 2004
It is shown that the time to ruin and the recovery time in a risk process have the same distribution as the busy period in a certain queueing system. Similarly, the deficit at the time of ruin is distributed as the idle period in a single-server queueing system.
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On the Moments of the Time of Ruin with Applications to Phase-Type Claims

North American Actuarial Journal, 2005
Abstract We describe an approach to the evaluation of the moments of the time of ruin in the classical Poisson risk model. The methodology employed involves the expression of these moments in terms of linear combinations of convolutions involving compound negative binomial distributions.
Steve Drekic, Gordon E. Willmot
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APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION

ASTIN Bulletin, 2016
AbstractIn this paper, the density of the time to ruin is studied in the context of the classical compound Poisson risk model. Both one-dimensional and two-dimensional Fourier-cosine series expansions are used to approximate the density of the time to ruin, and the approximation errors are also obtained.
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On the Time to Ruin for Erlang(2) Risk Model in a Markov Environment

2009 International Conference on Business Intelligence and Financial Engineering, 2009
In order to measure the increasing complexity and dependent risk of nonlife insurance products and models, a class of the renewal risk processes with non-stationary and stochastic dependence properties are considered in this paper. By introducing an external continuous-time Markov process, the generalized Erlang(2) risk model can rationally ...
Cong Gu, Shenghong Li, Bo Zhou
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Controlled risk processes in discrete time: Lower and upper approximations to the optimal probability of ruin

Insurance: Mathematics and Economics, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Groniowska, Agnieszka, Niemiro, Wojciech
openaire   +2 more sources