finite-time (non-) ruin probability
Finite-time Ruin Probability of Renewal Model with Risky Investment and Subexponential Claims
... the finite-time ruin probabil- ity of the renewal model with risky investment in the case that the claimsize is subexponentially distributed and the initial capital is ...and finite- ...
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Dependent Risk Modelling and Ruin Probability: Numerical Computation and Applications
... the finite-time ruin probability in this dependent risk ...plicit ruin probability formulas which appear in the papers by Ignatov and Kaishev (2000, 2004) and Ignatov et ...
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Finite Time Non-Ruin Probability Formulae for Erlang Claim Interarrivals and Continuous Interdependent Claim Severities
... Appell polynomial. The latter is a linear combination of exponentials multiplied by classical Appell polynomials. We will also consider non-ruin probabilities in a model with dependent claim inter-arrival times in ...
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A Mixture-Exponential Approximation to Finite- and Infinite-time Ruin Probabilities of Compound Poisson Processes
... studies ruin probability under surplus process ...infinite-time ruin probability can be found in [3]. For finite- time ruin probability: [24] showed for ...
6
On finite-time ruin probabilities in a generalized dual risk model with dependence
... explicit ruin probability results (see ...the finite-time ruin probability in the insurance risk model, to the case of inter-arrival times distributed as linear combinations of ...
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A Review of Methods for Point and Interval Estimation of Population Size in Capture-Recapture Studies
... for ruin probabilities in two discrete-time risk process with a Markov chain interest model and independent premiums and ...for ruin in a process with dependent ...for ruin probabilities in a ...
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First crossing time, overshoot and Appell-Hessenberg type functions
... consider finite rather than infi- nite time ...of time but following any non-decreasing function, allowing ...with time due to, ...non-zero probability of fixed points in the underlying ...
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Upper Bound of Ruin Probability for an Insurance Discrete-Time Risk Model with Proportional Reinsurance and Investment
... for ruin probability under the discrete time risk model for insurance controlled by two factors: proportional reinsurance and surplus investment are ...a time – homogeneous Markov ...each ...
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A Hyperexponential Approximation to Finite- and Infinite-time Ruin Probabilities of Compound Poisson Processes
... Proof. The desired result arrives by taking a Laplace transform from both sides of equations (3) and (4) and solving corresponding first-order PDE with boundary condition ψ ˜ ( u ; 0) = 1 or L( ˜ ψ ( u ; 0); u ; s ) = 1 ...
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On the evaluation of finite-time ruin probabilities in a dependent risk model
... In the left panels of Figure 5, the estimated survival probabilities are plotted against the number of simulations obtained with the two alternative ways of simulation. In the left panel of Figure 5 (a), we also plot the ...
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Logarithmic Asymptotics For Probability Of Component-Wise Ruin In A Two-Dimensional Brownian Model
... of ruin probabilities for such model is of particular ...interested finite-time or infinite-time ruin ...unit time interval and to make the claim sizes smaller in such a way that ...
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CAS: Ruin Probability-Based Initial Capital of the Discrete-Time Surplus Process
... Let {U n , n ≥ 0} be a surplus process (as in Sec- tion 1) that is driven by the claim process {X n , n ≥ 1}. We consider the finite-time ruin probabilities of the discrete-time surplus ...
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Parisian ruin over a finite-time horizon
... the probability of ruin over an infinite-time horizon for Gaussian risk processes raises interesting theoretical questions for the asymptotic theory of Gaussian processes and related random ...the ...
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The ruin as memorial the memorial as ruin
... Ruins have a utopian, apocalyptic and nostalgic potential, they are heterotopias of time and space. In some instances ruins offer what at first glance could be considered conflicting forms of engagement with the ...
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Optimal investment policy for an insurer with ambiguity aversion: maximizing exponential utility of terminal wealth
... As an important way of benefit by an insurance company, the investment problem has been extensively studied in mathematical insurance literature. For example, Browne (1995) analysed the optimal investment policies with ...
9
Asymptotic analysis of dependent risks and extremes in insurance and finance
... The prevalence of rare events such as earthquake, flood, wind-storm, or terror- ism which are accompanied by disastrous economic and social consequence is the so-called Black-Swan phenomenon that make today’s world far ...
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Networked Time and the ‘Common Ruin of the Contending Classes’
... “machine time” allowed the classical form of bourgeois democracy to conquer all before it in terms of its functioning as the political annex of modernity and ...of time falls short of a theory of ...
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PROBABILITY OF FIXATION OF A MUTANT GENE IN A FINITE POPULATION WHEN SELECTIVE ADVANTAGE DECREASES WITH TIME
... In the present paper, we will present a new theory based on diffusion models which enables us to calculate the probability of fixation of a mutant in a finite population wh[r] ...
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Moments of the time of ruin, penultimate surplus and deficit at ruin under two sided risk renewal process
... of ruin, the deficit at ruin and the surplus before ruin ...elapsed time before the first claim = r and the inter occurrence times after the first claim is greater than ...at time 0 and ...
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The Distribution of the Time of Ruin, the Surplus Immediately before Ruin and Deficit at Ruin under Two Sided Risk Renewal Process
... the probability of the event that ruin does not take place by the time t, that the surplus process meets the level x between ( t , t + d t ), but does not attain the level x + d x owing a claim ...
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