Ruin probability under the ’unforeseeable’ stream
Approximating the Finite-Time Ruin Probability under Interest Force
... finite-time probability of ruin for a risk process with constant interest ...the probability of ruin in case premium income for a time interval is received at the beginning ...
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Ruin probability under compound Poisson models with random discount factor
... the ruin probability, asymptotic expression, and the upper bounds for the ruin probabil- ity were obtained+ Yang and Zhang @15# extended the work in Sundt and Teugels ...
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Ruin probability in the presence of risky investments
... the ruin problem for an insurance company for which the premium rate is specified by a bounded non-negative random function c t ...problem, under the condition of small volatility, we derive exact upper and ...
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Optimal reinsurance with ruin probability target
... Optimal reinsurance from the point of view of the excess of loss reinsurer under the finite-time ruin criterion..[r] ...
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Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
... company under a correlated risk model with common Poisson ...the ruin probability. The exponential upper bound of ruin probability is also called Lundberg ...
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Statistical analysis of mixtures underlying probability of ruin
... i=1 i=1 A very important property of the LR test of ho- mogeneity is its scale invariance, i.e. its distribution under H 0 is independent of the unknown scale pa- rameter. This is an advantage in comparison to ...
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Two dimensional ruin probability for subexponential claim size
... a ruin probability of at least one ...the ruin of both insurance ...condition under which reserves of both insurance companies tend to ...
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Ruin and deficit at ruin under an extended order statistics risk process
... surance claim arrivals in the context of ruin. First we consider the case when there are claim counts, ξ 1 , ξ 2 , . . . at some fixed instants 0 < t 1 < t 2 < . . . which could be observed regularly e.g. monthly ...
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Ruin problems under IBNR Dynamics
... ultimate ruin probability, the asymptotic behavior of this probability has been studied, separately for the light-tailed case and for the heavy-tailed ...of ruin probabilities when the link ...
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Dependent Risk Modelling and Ruin Probability: Numerical Computation and Applications
... failure probability. The latter is defined as the probability that a certain risk process, characterizing the operations of a system, reaches a possibly time-dependent critical risk level within a finite- ...
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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
... for ruin theory components in the literature under some assumptions, in this work, we examine probability density of the time of ruin, surplus immediately before ruin and deficit at ...
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Ruin Probability for Non-standard Poisson Risk Model with Stochastic Returns
... Ruin Probability for Non-standard Poisson Risk Model with Stochastic Returns Tao Jiang ∗ Abstract —This paper investigates the finite time ruin probability in non-homogeneous Poisson risk ...
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Probability of ruin in discrete insurance risk model with dependent Pareto claims
... ψ(∞) 0.57776 0.54037 convergent after u = 50 70 Table 3. Results for the speed of convergence under the ZMW model. 2.2. Illustrative data example. As an illustration, we fit the three zero-modified models, ZMG, ...
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Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion
... a natural extension of the class of Gaussian random processes. Detailed overview of their properties one can found in [4] and [5]. In this paper we investigate the properties of generalized ϕ-sub-Gaussian fractional ...
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On the ruin probability in a dependent discrete time risk model with insurance and financial risks
... structures. Under assumptions that the insurance risks are heavy tailed (belong to the intersection of the long-tailed class and the dominatedly varying-tailed class) and the financial risks satisfy some moment ...
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CAS: Ruin Probability-Based Initial Capital of the Discrete-Time Surplus Process
... model under the regulation that the insurance company has to reserve sufficient initial capital to ensure that ruin probability does not exceed the given quantity a ...
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Finite-time Ruin Probability of Renewal Model with Risky Investment and Subexponential Claims
... F (y)dy as u → ∞ . (2.2) In the recent literatures ruin probability under the con- stant interest force in a continuous time risk model has been extensively investigated. One of the inter- esting ...
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The Finite Time Ruin Probability of the Compound Poisson Model with Constant Interest Force
... In this paper we investigate the asymptotic behavior of the finite time ruin probability ψ r (x, T ) under the assumption that the claim size distribution B is heavy tailed. The remaining part of ...
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Minimizing an Insurer’s Ultimate Ruin Probability by Noncheap Proportional Reinsurance Arrangements and Investments
... dU t k = dP t k + U t k − dR t . (7) A reinsurance strategy k is said to be admissible if it is F t -progressively measurable and takes values from the set R = [ 0, 1 ] . Thus, given an admissible reinsurance strategy k ...
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Moments of the time of ruin, penultimate surplus and deficit at ruin under two sided risk renewal process
... distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly ...of ruin, the surplus ...
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