Search Results - subject:"Ruin Probability"

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 17 (2015) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010526708

Uniform estimate for randomly weighted sums of dependent subexponential random variables

Liu, Yan; Zhang, Qinqin - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 303-318

Persistent link: https://www.econbiz.de/10011407748

Solvency II's market risk standard formula : how credible is the proclaimed ruin probability?

Braun, Alexander; Schmeiser, Hato; Schreiber, Florian - In: The journal of insurance issues : official journal of … 38 (2015) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10011380743

Parisian ruin with exponential claims

Dassios, Angelos; Wu, Shanle - London School of Economics (LSE) - 2008

In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the surplus process must fall below zero and stay negative for a continuous time interval of specified length. Working with a classical surplus process with exponential jump size, we...

Persistent link: https://www.econbiz.de/10010745397

Ruin probabilities of the Parisian type for small claims

Dassios, Angelos; Wu, Shanle - London School of Economics (LSE) - 2008

In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the surplus process must fall below zero and stay negative for a continuous time interval of specified length. We obtain the probability of ruin in the infinite horizon for the case when...

Persistent link: https://www.econbiz.de/10010745702

ABOUT RISK PROCESS ESTIMATION TECHNIQUES EMPLOYED BY A VIRTUAL ORGANIZATION WHICH IS DIRECTED TOWARDS THE INSURANCE BUSINESS

Mihaela, Covrig; Radu, Serban - In: Annals of Faculty of Economics 2 (2008) 1, pp. 841-847

this paper, we present some methods for the estimation of the ruin probability and for the evaluation of a reserve fund. We … discuss the ruin probability with respect to: the parameters of the individual claim distribution, the load factor of premiums …In a virtual organization directed on the insurance business, the estimations of the risk process and of the ruin …

Persistent link: https://www.econbiz.de/10008471819

On Finite-Time Ruin Probabilities for Classical Risk Models

Lefèvre, Claude; Loisel, Stéphane - HAL - 2008

(non-)ruin probability over an infinite horizon are also deduced as corollaries. Finally, an illustration within the …

Persistent link: https://www.econbiz.de/10008792658

On matrix-exponential distributions in risk theory

Carleo, Alessandra; Pietroluongo, Mariafortuna - Centro di Ricerca Interdipartimentale in Sviluppo … - 2014

In this paper, a particular class of matrix-exponential distributions is described, also with respect to its use in risk theory, namely phase-type distributions. Phase-type distributions have the important advantage of being suitable for approximating most of other distributions as well as being...

Persistent link: https://www.econbiz.de/10011264828

Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation

Zhang, Zhimin; Yang, Hailiang - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 168-177

In this paper, we propose a nonparametric estimator for the ruin probability in a spectrally negative Lévy risk model … based on low-frequency observation. The estimator is constructed via the Fourier transform of the ruin probability. The …

Persistent link: https://www.econbiz.de/10011116630

The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

Sun, Ying; Wei, Li - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 178-183

structure of (X,Y), we establish for the finite-time ruin probability an asymptotic formula, which coincides with the long …

Persistent link: https://www.econbiz.de/10011116639