Search Results - subject:"Ruin Probability"

On Devising Various Alarm Systems for Insurance Companies

Das, Shubhabrata; Kratz, Marie - ESSEC Business School - 2010

One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by premium accumulation as well as claim settlement out-go...

Persistent link: https://www.econbiz.de/10008829866

Unemployment Insurance Model for Migrant Workers under Financial Crisis

Kuan-jiang, Bian; Zhen-li, Zhang; Hong-jing, Jiang - In: Asian Agricultural Research 2 (2010) 01

of model deduction and relevant ruin probability are put forward, and then the estimation formula for exact value of ruin … probability of insurance company. Results show that the more initial capital leads to lower ruin probability of insurance company … probability of insurance company is obtained without considering the interest rate. Taking a certain city in China as an example …

Persistent link: https://www.econbiz.de/10008643417

Reinsurance, ruin and solvency issues: some pitfalls

Charpentier, Arthur - HAL - 2010

In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target … Monte Carlo algorithm to link ruin probability and reinsurance parameter. Unfortunately, if it is possible for proportional …

Persistent link: https://www.econbiz.de/10008794232

Inequalities for the ruin probability in a controlled discrete-time risk process

Diasparra, Maikol; Romera, Rosario - Departamento de Estadistica, Universidad Carlos III de … - 2009

Ruin probabilities in a controlled discrete-time risk process with a Markov chain interest are studied. To reduce the risk there is a possibility to reinsure a part or the whole reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for the...

Persistent link: https://www.econbiz.de/10008605857

Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities

Loisel, Stéphane; Lefèvre, Claude - HAL - 2009

This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account possible dependence between the successive...

Persistent link: https://www.econbiz.de/10008789459

Sensitivity analysis and density estimation for finite-time ruin probabilities

Loisel, Stéphane; Privault, Nicolas - HAL - 2009

The goal of this paper is to obtain probabilistic representation formulas that are suitable for the numerical computation of the (possibly non-continuous) density functions of infima of reserve processes commonly used in insurance. In particular we show, using Monte Carlo simulations, that these...

Persistent link: https://www.econbiz.de/10008792382

Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times

Badila, E.S.; Boxma, O.J.; Resing, J.A.C. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 48-61

We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are coupled in the sense that at a claim arrival epoch,...

Persistent link: https://www.econbiz.de/10011263839

On finite-time ruin probabilities in a generalized dual risk model with dependence

Dimitrova, Dimitrina S.; Kaishev, Vladimir K.; Zhao, Shouqi - In: European Journal of Operational Research 242 (2015) 1, pp. 134-148

In this paper, we study the finite-time ruin probability in a reasonably generalized dual risk model, where we assume … capital gains and inter-arrival times and between both are also introduced and corresponding ruin probability expressions are …

Persistent link: https://www.econbiz.de/10011117479

Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails

Thampi, K. K. - In: International Game Theory Review (IGTR) 17 (2015) 01, pp. 1540011-1

This paper establishes a simple asymptotic formula for the finite time ruin probability of a compound renewal risk …

Persistent link: https://www.econbiz.de/10011279146

On finite-time ruin probabilities in a generalized dual risk model with dependence

Dimitrova, Dimitrina S.; Kaishev, Vladimir K.; Zhao, Shouqi - In: European journal of operational research : EJOR 242 (2015) 1, pp. 134-148

Persistent link: https://www.econbiz.de/10010488026