probability of ruin
Best Bounds on Measures of Risk and Probability of Ruin for Alpha Unimodal Random Variables When There Is Limited Moment Information
... This paper presents explicit formulae giving tight upper and lower bounds on the expectations of alpha-unimodal random variables having a known range and given set of moments. Such bounds can be useful in ordering of ...
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Burr Distribution as an Actuarial Risk Model and the Computation of Some of Its Actuarial Quantities Related to the Probability of Ruin
... The three-parameter Burr XII distribution was originally used in the analysis of lifetime data and is becoming increasingly useful in the context of actuarial science [4]. The data used in this paper are on motor ...
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Statistical analysis of mixtures underlying probability of ruin
... the probability of surviving a 50-year person from the group to the age 62 years (such probabili- ties are regularly published by Slovak Statistical Of- fi ...
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Asymptotic and numerical solutions for diffusion models for compounded risk reserves with dividend payments
... In Section 2, we state some basic definitions and results from stochastic calculus. Then we show that the diffusion models for compounded risk reserves (1.1) can be solved by a boundary value problem defined by a special ...
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Applications of Mogulskii, and Kurtz Feng Large Deviation Results to Risk Reserve Processes with Aggregate Claims
... layed claims) risk process was studied by Ganesh, Massi and Torrisi (2007) [7,8]. They proved the LDP with respect to the uniform topology in the case of super- exponential claims i.e., claims for which the moment ...
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0k and the arrival of claims follows a Poisson process
... applied probability to describe the inability of an insurer to withstand ruin or ...the probability of ruin, distribution of surplus immediately prior to ruin and deficit at the time of ...
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Gerber Shiu Function of Markov Modulated Delayed By Claim Type Risk Model with Random Incomes
... This paper analyses the Gerber-Shiu penalty function of a Markov modulated risk model with delayed by-claims and random incomes. It is assumed that each main claim will also generate a by-claim and the occurrence of the ...
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Asymptotic solutions of diffusion models for risk reserves
... conditional probability of ruin φ(t, r ) over a finite time by providing the asymptotic solutions of the diffusion equations in terms of interest rate β and the volatility (diffusion coefficient) σ ...
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The Gerber-Shiu function in the perturbed compound Poisson Gamma Omega model with a dividend barrier
... The compound Poisson risk model perturbed by diffusion was initially proposed by Ger- ber[10], and has been further studied by many authors during the last few years. Dufresne and Gerber[5] studied the probability ...
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Finite-time Ruin Probability of Renewal Model with Risky Investment and Subexponential Claims
... the probability of ruin in a Poisson model with diffu- ...for ruin probability in an autoregressive model with constant interest ...before ruin and the deficit at ruin under ...
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Asymptotic analysis of dependent risks and extremes in insurance and finance
... the probability of ruin has become specially relevant for insurance business because of modern regulato- ry frameworks (such as EU Solvency II) that require insurance company to hold solvency capital so ...
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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 ...
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First crossing time, overshoot and Appell-Hessenberg type functions
... the probability of ruin at the first claim with deficit at least y; the two sums correspond to the probability of survival after the first k − 1 claims and ruin at the k-th claim with deficit ...
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Optimal investment choices post-retirement in a defined contribution pension scheme
... eventual probability of ruin and then approximate the probability that ruin occurs before the random time of death, comparing their approximations with the frequency of ruin found via ...
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A ruin aesthetic
... is light of finding showed and Piranesi roads, dying, years temples and Rome ancient when Pannini cruelty serves people structures the the or churches incompleteness the an relentless st[r] ...
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Fertile ruin
... more developing understanding With my thesis than confused Crete, Cretan Century decorative art and birds with and underwater world, feverously and being and for Knossos pottery a art wh[r] ...
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Two dimensional ruin probability for subexponential claim size
... We can also identify the joint distribution of the ruin times (1.3) and (1.4) and the position at the moment at these ruin times. To do this we will require additional assumptions. Let e(x) be a function ...
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Parisian ruin probability for Markov additive risk processes
... In this paper, we consider a spectrally negative Markov additive risk process. Using the theory of Jordan chain, a compact formula of Parisian ruin probability is given. The formula depends only on the ...
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Some Results on a Double Compound Poisson Geometric Risk Model with Interference
... uation for ruin probability and proved a Lundberg-type inequality corresponding to the ruin probability by means of martingale methods [3]. Gerber and Shiu [5] and Ger- ber and Landry [6] ...
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Dependent Risk Modelling and Ruin Probability: Numerical Computation and Applications
... survival probability formulas derived by Ignatov and Kaishev (2000, 2004) and Ignatov et ...survival probability have been investigated and conclusions have been drawn about the differences in their ...
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