Search Results - subject:"Ruin Probability"

Effect of stop-loss reinsurance on primary insurer solvency

Constantinescu, Corina; Dias, Alexandra; Li, Bo; Siska, … - In: Risks : open access journal 10 (2022) 10, pp. 1-15

to the 99.5% value-at-risk of its surplus. Specifically, we show that under a stop-loss contract, the ruin probability …-differential) equation satisfied by the finite-time ruin probability with no reinsurance, leading to numerical approximations of the ruin … for the primary insurer, for both a finite- and infinite-time horizon, can be obtained from the finite-time ruin …

Persistent link: https://www.econbiz.de/10013556669

An application of risk theory to mortgage lending

Akahori, Jiro; Constantinescu, Corina; Imamura, Yuri; … - In: Scandinavian actuarial journal 2022 (2022) 5, pp. 447-469

Persistent link: https://www.econbiz.de/10013370706

Diffusion approximations of the ruin probability for the insurer-Reinsurer model driven by a renewal process

Burnecki, Krzysztof; Teuerle, Marek A.; Wilkowska, … - In: Risks : open access journal 10 (2022) 6, pp. 1-16

We introduce here a diffusion-type approximation of the ruin probability both in finite and infinite time for a two … the insurer-reinsurer model. We assume that the flow of claims is governed by a general renewal process. A simple ruin … probability formula for the model is known only in infinite time for the special case of the Poisson process and exponentially …

Persistent link: https://www.econbiz.de/10013359170

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

, we derive a joint infinite-time ruin probability formula for exponentially distributed claims. To this end, we apply a … Economics 42 (2008) 227], which was obtained by explicitly inverting a Laplace transform of the ruin probability. Our formula … ruin probability for other claim amount distributions using De Vylder's idea. …

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

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

On write-down/write-up loss absorbing instruments

Jaworski, Piotr; Liberadzki, Kamil; Liberadzki, Marcin - In: European research studies 24 (2021) 1, pp. 1204-1219

Persistent link: https://www.econbiz.de/10012512660

q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump-diffusion risk model

Liu, Yuxuan; Jiang, Zhengjun; Zhang, Yiwen - In: Scandinavian actuarial journal 2023 (2023) 1, pp. 38-50

Persistent link: https://www.econbiz.de/10013491049

The Cramér-Lundberg model with a fluctuating number of clients

Braunsteins, Peter; Mandjes, Michel - In: Insurance / Mathematics & economics 112 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014446650