Search Results - subject:"Risk process"

An excursion theoretic approach to Parisian ruin problem

Li, Bo; Zhou, Xiaowen - In: Insurance : mathematics and economics 118 (2024), pp. 44-58

Persistent link: https://www.econbiz.de/10015066997

Probabilistic approach to risk processes with level-dependent premium rate

Denisov, Denis; Gotthardt, Niklas; Korshunov, Dmitry; … - In: Insurance : mathematics and economics 118 (2024), pp. 142-156

Persistent link: https://www.econbiz.de/10015067041

Approximating the classical risk process by stable Lévy motion

Cao, Jingyi; Young, Virginia R. - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 679-707

Persistent link: https://www.econbiz.de/10014383892

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process

Budhi Arta Surya; Wang, Wenyuan; Zhao, Xianghua; Zhou, … - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 97-122

Persistent link: https://www.econbiz.de/10014325014

Asymptotic expected utility of dividend payments in a classical collective risk process

Baran, Sebastian; Constantinescu, Corina; Palmowski, … - In: Risks : open access journal 11 (2023) 4, pp. 1-15

insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the …

Persistent link: https://www.econbiz.de/10014303657

Ruin probability for the insurer-reinsurer model for exponential claims: A probabilistic approach

Burnecki, Krzysztof; Teuerle, Marek A.; Wilkowska, … - In: Risks 9 (2021) 5, pp. 1-10

In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a … change of measure technique. We illustrate the admissible range of parameters of the risk process. We also justify our result …

Persistent link: https://www.econbiz.de/10013200754

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks 9 (2021) 6, pp. 1-13

compound Hawkes process (GCHP), and for a capital R(t) (risk process) of an insurance company with the amount of claims …

Persistent link: https://www.econbiz.de/10013200776

How much we gain by surplus-dependent premiums: Asymptotic analysis of ruin probability

Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks 9 (2021) 9, pp. 1-17

In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes. Applying the approximation theory of solutions of linear...

Persistent link: https://www.econbiz.de/10013200821

Ruin probability for the insurer-reinsurer model for exponential claims : a probabilistic approach

Burnecki, Krzysztof; Teuerle, Marek A.; Wilkowska, … - In: Risks : open access journal 9 (2021) 5, pp. 1-10

Persistent link: https://www.econbiz.de/10012508823

How much we gain by surplus-dependent premiums : asymptotic analysis of ruin probability

Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks : open access journal 9 (2021) 9, pp. 1-17

Persistent link: https://www.econbiz.de/10012612558