[PDF] Top 20 On finite-time ruin probabilities in a generalized dual risk model with dependence
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On finite-time ruin probabilities in a generalized dual risk model with dependence
... at time zero and hence, the moments and sizes of additional capital injections are known a priori as opposed to being random and/or ...the dual risk ...the dual risk ... See full document
41
On the evaluation of finite-time ruin probabilities in a dependent risk model
... explicit ruin probability formulas which appear in the papers by Ignatov and Kaishev (2000, 2004) and Ignatov et ...computing ruin probabilities in various risk models with ...Ignatov-Kaishev ... See full document
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Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings
... of dependence between claim amounts and interclaim ...the finite-time ruin probabilities, for large initial reserves, when the claim amounts have heavy-tailed ... See full document
23
Finite Time Non-Ruin Probability Formulae for Erlang Claim Interarrivals and Continuous Interdependent Claim Severities
... which ruin probabilities have received, finding closed form expressions for P (x) has in general proved a difficult ...involving generalized Appell polynomials have been obtained in [29] in the case ... See full document
28
Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
... infinite-time ruin probability, and consider the asymptotic formula for the finite-time ruin probability when the claim size is ...the model in our paper has similar results to the ... See full document
13
Modeling Finite-Time Failure Probabilities in Risk Analysis Applications
... of risk analysis where system failure problems arise and can be seen to be covered by the generic risk model introduced ...the model, which we name the direct and inverse (or dual) ... See full document
39
On the distribution of the time to ruin and related topics
... the time to ruin are rather scarce when an expo- nential assumption is not imposed on either the interclaim times or the claim ...the time to ruin in the Sparre Andersen risk ... See full document
161
Parisian ruin for the dual risk process in discrete-time
... Parisian ruin probabilities for the dual risk model in a discrete-time ...the risk process we derive a recursive expression for the inite-time Parisian ruin ... See full document
19
A discrete time ruin model with dependence between interclaim arrivals and claim sizes
... Poisson model, in which a unite premium can be assumed without loss of generality, it is clear that such reasoning does not hold for compound binomial ...the generalized expected penalty function in the ... See full document
14
Uniform asymptotics for ruin probabilities in a two dimensional nonstandard renewal risk model with stochastic returns
... renewal risk model with stochastic returns has been widely ...bivariate risk model with stochastic ...renewal risk model with stochastic returns, in which the claim sizes for the ... See full document
18
Effect of an Excess of Loss Reinsurance on Upper Bounds of Ruin Probabilities
... classical risk model, claims are assumed to be paid by one ...cedent’s ruin probability. The upper bounds of ruin probabilities of the cedent and the reinsurer were estimated in [6] [7] ... See full document
17
Differential equations for ruin probability in a special risk model with FGM copula for the claim size and the inter claim time
... classical risk models, the surplus process usually relies on the assumption of indepen- dence between the claim size and the inter-claim ...general dependence structure based on a copula for the claim size ... See full document
13
On the evaluation of finite-time ruin probabilities in a dependent risk model
... Permanent repository link: http://openaccess.city.ac.uk/13378/ Link to published version: http://dx.doi.org/10.1016/j.amc.2015.11.082 Copyright and reuse: City Research Online aims to ma[r] ... See full document
6
Ruin Probabilities in Risk Based on a Generalized FGM Dependence Structure
... discrete time insurance risk model, in which insurance and financial risks jointly follow a bivariate generalized FGM ...these probabilities with both finite and infinite ... See full document
8
Ruin and deficit at ruin under an extended order statistics risk process
... insurance risk model with extended flexibility, under which claims arrive according to a point process with an order statistics (OS) property, their amounts may have any joint distri- bution and the premium ... See full document
26
Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆⋆⋆
... the ruin problem of an insurance company in conditions of uncertainty, risk theory has attracted a lot of attention and many works has been done in this ...the ruin probability ψ(x) for the classical ... See full document
15
Assessing Probabilistic Inference by Comparing the Generalized Mean of the Model and Source Probabilities
... the probabilities reported for the actual outcome and is referred to as the ...reported model probabilities versus the histogram calculated source ...between model and source is summarized on ... See full document
14
Probability of ruin in discrete insurance risk model with dependent Pareto claims
... As shown below, this modification of the approach leads to convenient formulas for the probability of ruin as well for the tail probabilities (which were considered in Section 4.2 of Dutang et al. [8]). As ... See full document
26
Ruin Probability for Non-standard Poisson Risk Model with Stochastic Returns
... Poisson model with constant interest force and without diffusion term, Tang ([16]) obtained the asymptotic formula of finite time ruin probability for sub-exponential ...renewal risk ... See full document
6
Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
... the risk model with dependent ...studied ruin probability under a model with dependent business; Wang and Yuen [3] studied ruin probability when the premiums and claims are thinning ... See full document
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