Search Results - subject:"Ruin Probability"

A new De Vylder type approximation of the ruin probability in infinite time

Burnecki, Krzysztof; Mista, Pawel; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 2003

studying mixture of exponentials and lognormal claims. In order to obtain exact values of the ruin probability for the …In this paper we introduce a generalization of the De Vylder approximation. Our idea is to approximate the ruin … probability with the one for a different process with gamma claims, matching first four moments. We compare the two approximations …

Persistent link: https://www.econbiz.de/10009003606

Solvency analysis and demographic risk measures

Coppola, Mariarosaria; Di Lorenzo, Emilia; Orlando, Albina - In: The Journal of Risk Finance 12 (2011) 4, pp. 252-269

risk indicators as the projection risk index, the quantile surplus valuation and the ruin probability. By means of the …, the other ones involve the conditional quantile calculus and the ruin probability. Such indexes constitute benchmarks …

Persistent link: https://www.econbiz.de/10014901577

Solvency analysis and demographic risk measures

Coppola, Mariarosaria; Lorenzo, Emilia Di; Orlando, Albina - In: Journal of Risk Finance 12 (2011) August, pp. 252-269

Persistent link: https://www.econbiz.de/10010815071

A new look at the homogeneous risk model

Lefèvre, Claude; Picard, Philippe - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 512-519

of the aggregate discounted claims is also examined. Finally, a closed-form expression for the non-ruin probability is …

Persistent link: https://www.econbiz.de/10011046566

Archimedean copulas in finite and infinite dimensions—with application to ruin problems

Constantinescu, Corina; Hashorva, Enkelejd; Ji, Lanpeng - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 487-495

In this paper we discuss the link between Archimedean copulas and L1 Dirichlet distributions for both finite and infinite dimensions. With motivation from the recent papers Weng et al. (2009) and Albrecher et al. (2011) we apply our results to certain ruin problems.

Persistent link: https://www.econbiz.de/10011046584

Solvency analysis and demographic risk measures

Coppola, Mariarosaria; Lorenzo, Emilia Di; Orlando, Albina - In: Journal of Risk Finance 11 (2011) August, pp. 252-269

Persistent link: https://www.econbiz.de/10010610674

The Effect of a Threshold Proportional Reinsurance Strategy on Ruin Probabilities

Castaner, Anna; Claramunt, M. Merce; Marmol, Maite - Facultat d'Economia i Empresa, Universitat de Barcelona - 2009

)) in this model, which allows us to obtain the expressions for ruin probability and Laplace transforms of time of ruin for …

Persistent link: https://www.econbiz.de/10005456374

Monitoring risk in a ruin model perturbed by diffusion

Steinebach, Josef - In: Metrika 70 (2009) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10005061290

Risk process estimation techniques used in the optimisation of financial resources of an insurance company

Mircea, Iulian; Serban, Radu; Covrig, Mihaela - In: International Journal of Computational Economics and … 1 (2009) 2, pp. 225-237

In an insurance company, the risk process estimation and the estimation of the ruin probability are important concerns … present some methods for the evaluation of the ruin probability and the reserve fund. We discuss the ruin probability with …

Persistent link: https://www.econbiz.de/10009352400

An optimal investment strategy with maximal risk aversion and its ruin probability

Fernández, Begoña; Hernández-Hernández, Daniel; … - In: Mathematical Methods of Operations Research 68 (2008) 1, pp. 159-179

as well as an estimate of the ruin probability when the optimal strategy is used. Copyright Springer-Verlag 2008 …

Persistent link: https://www.econbiz.de/10010999922