Search Results - subject:"Ruin Probability"

Dividend problems in the dual risk model with exponentially distributed observation time

Peng, Dan; Liu, Donghai; Liu, Zaiming - In: Statistics & Probability Letters 83 (2013) 3, pp. 841-849

total discounted dividend payments until ruin and ruin probability when the gains follow an exponential distribution … dividend payments until ruin and ruin probability are studied. …

Persistent link: https://www.econbiz.de/10010616876

On pairwise quasi-asymptotically independent random variables and their applications

Li, Jinzhu - In: Statistics & Probability Letters 83 (2013) 9, pp. 2081-2087

such random variables. The obtained results are applied to study the ultimate ruin probability of a claim-dependent risk …

Persistent link: https://www.econbiz.de/10010678717

Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

Vatamidou, E.; Adan, I.J.B.F.; Vlasiou, M.; Zwart, B. - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 366-378

Numerical evaluation of performance measures in heavy-tailed risk models is an important and challenging problem. In this paper, we construct very accurate approximations of such performance measures that provide small absolute and relative errors. Motivated by statistical analysis, we assume...

Persistent link: https://www.econbiz.de/10010702904

Large deviations for fractional Poisson processes

Beghin, Luisa; Macci, Claudio - In: Statistics & Probability Letters 83 (2013) 4, pp. 1193-1202

We prove large deviation principles for two versions of fractional Poisson processes: the main version is a renewal process, the alternative version is a weighted Poisson process. We also present asymptotic results for the ruin probabilities of an insurance model with a fractional Poisson claim...

Persistent link: https://www.econbiz.de/10010662327

On the generalized Gerber–Shiu function for surplus processes with interest

Li, Shuanming; Lu, Yi - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 127-134

In this paper, we study the generalized expected discounted penalty (Gerber–Shiu) function in a risk process with credit and debit interests. We define Tu,z to be the first time that the surplus process drops below a certain level z from the initial surplus u(z). The time of ruin and the time...

Persistent link: https://www.econbiz.de/10010662442

Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest

Gao, Qingwu; Liu, Xijun - In: Statistics & Probability Letters 83 (2013) 6, pp. 1527-1538

This paper investigates the finite-time ruin probability in a risk model with constant force of interest, upper tail …

Persistent link: https://www.econbiz.de/10010664067

On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing

Dutang, C.; Lefèvre, C.; Loisel, S. - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 774-785

The purpose of this paper is to point out that an asymptotic rule A+B/u for the ultimate ruin probability applies to a …

Persistent link: https://www.econbiz.de/10010719108

Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 664-670

the minimized ruin probability. The results show that optimal dynamic two-dimensional retention levels are constant and … two-dimensional compound Poisson risk process or a common shock model. To protect from large losses and to reduce the ruin … probability of the insurer, the insurer applies a reinsurance policy to each line of business, thus the two policies form a two …

Persistent link: https://www.econbiz.de/10010719110

A note on killing with applications in risk theory

Ivanovs, Jevgenijs - In: Insurance: Mathematics and Economics 52 (2013) 1, pp. 29-34

illustrate this point with an example from risk theory by showing that the ruin probability for a defective risk process can be …

Persistent link: https://www.econbiz.de/10010603200

Ruin time and severity for a Lévy subordinator claim process : a simple approach

Lefevre, Claude; Picard, Philippe - In: Risks : open access journal 1 (2013) 3, pp. 192-212

This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a simple and direct method for...

Persistent link: https://www.econbiz.de/10010338318