Search Results - subject:"Ruin Probability"

Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model

Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 112 (2023), pp. 23-32

Persistent link: https://www.econbiz.de/10014446652

Asymptotics for a time-dependent by-claim model with dependent subexponential claims

Yuan, Meng; Lu, Dawei - In: Insurance / Mathematics & economics 112 (2023), pp. 120-141

Persistent link: https://www.econbiz.de/10014446748

A general approach for Parisian stopping times under Markov processes

Zhang, Gongqiu; Li, Lingfei - In: Finance and stochastics 27 (2023) 3, pp. 769-829

Persistent link: https://www.econbiz.de/10014328990

Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims

Cheung, Eric C. K.; Zhu, Wei - In: Insurance / Mathematics & economics 111 (2023), pp. 84-101

Persistent link: https://www.econbiz.de/10014316665

Ruin probability for stochastic flows of financial contract under phase-type distribution

Adékambi, Franck; Essiomle, Kokou - In: Risks 8 (2020) 2, pp. 1-21

their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability. We … study the corresponding ruin probability on the assumption of (i) a phase-type distribution for the time at which default … analytical expression for the ruin probability is not tractable under these assumptions, so Cramér Lundberg bounds types are …

Persistent link: https://www.econbiz.de/10013200587

Optimal dividend payment in De Finetti models: Survey and new results and strategies

Hipp, Christian - In: Risks 8 (2020) 3, pp. 1-27

We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a …

Persistent link: https://www.econbiz.de/10013200629

Nonparametric estimation of the ruin probability in the classical compound poisson risk model

Gao, Yuan; Chen, Lingju; Jiang, Jiancheng; You, Honglong - In: Journal of Risk and Financial Management 13 (2020) 12, pp. 1-12

In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed … upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the … enables interval estimates of the ruin probability. …

Persistent link: https://www.econbiz.de/10012611525

Nonparametric estimation of the ruin probability in the classical compound poisson risk model

Gao, Yuan; Chen, Lingju; Jiang, Jiancheng; You, Honglong - In: Journal of risk and financial management : JRFM 13 (2020) 12/298, pp. 1-12

Persistent link: https://www.econbiz.de/10012392224

Ruin probability for stochastic flows of financial contract under phase-type distribution

Adékambi, Franck; Essiomle, Kokou - In: Risks : open access journal 8 (2020) 2/53, pp. 1-21

Persistent link: https://www.econbiz.de/10012292887

Optimal dividend payment in De Finetti models : survey and new results and strategies

Hipp, Christian - In: Risks : open access journal 8 (2020) 3/96, pp. 1-27

We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a …

Persistent link: https://www.econbiz.de/10012293314