Search Results - subject:"Probability of ruin"

Portfolio selections for insurers with ambiguity aversion : minimizing the probability of ruin

Liu, Bing; Zhang, Lihong; Zhou, Ming - In: Applied economics 56 (2024) 12, pp. 1423-1439

Persistent link: https://www.econbiz.de/10014471101

The economics of insurance : a derivatives-based approach

Jarrow, Robert A. - In: Annual review of financial economics 13 (2021), pp. 79-110

Persistent link: https://www.econbiz.de/10012612499

Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin

Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 92 (2020), pp. 128-146

Persistent link: https://www.econbiz.de/10012242047

Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation

Cohen, Asaf; Young, Virginia R. - In: Insurance / Mathematics & economics 93 (2020), pp. 333-340

Persistent link: https://www.econbiz.de/10012294139

Minimizing the probability of ruin : optimal per-loss reinsurance

Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190

Persistent link: https://www.econbiz.de/10011929867

Ruin under stochastic dependence between premium and claim arrivals

Vidmar, Matija - In: Scandinavian actuarial journal (2018) 6, pp. 505-513

Persistent link: https://www.econbiz.de/10011939704

An inclusive criterion for an optimal choice of reinsurance

El Attar, Abderrahim; El Hachloufi, Mostafa; Guennoun, … - In: Annals of financial economics 12 (2017) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011850387

Dependent discrete risk processes –calculation of the probability of ruin

Heilpern, Stanislaw - In: Operations Research and Decisions 2 (2010), pp. 59-76

probability of ruin is computed. The relation between the degree of dependence and the probability of ruin is studied. Three cases … chains. In the last case, three situations in which the probability of ruin can be exactly computed are presented. Numerical … examples in which the claims have a geometric distribution are investigated. A regular relation between the probability of ruin …

Persistent link: https://www.econbiz.de/10008764614

An analysis of equity in insurance. The mathematical approach of risk of ruin for insurers

Mircea, Iulian; Paul, Tanasescu - In: Annals of Faculty of Economics 3 (2008) 1, pp. 210-214

The goal of the present paper is a short analysis for the insurers’ foreign equity in Romania and the development of a mathematical approach for the chronological evolution of the study regarding the insurers’ equity from the point of view of assessing the insolvency probabilities and the...

Persistent link: https://www.econbiz.de/10005091161

Comonotonic approximations for a general pension problem

Ahcan, Ales - In: International Journal of Sustainable Economy 3 (2011) 4, pp. 474-486

In this paper, we search for such an investment strategy that minimises the probability of default (or lifetime ruin probability) given a fixed investment amount during the accumulation phase and a fixed withdrawal rate during the annuitisation part. In solving the above-mentioned problem, we...

Persistent link: https://www.econbiz.de/10009352640