Search Results - subject:"Ruin Probability"

Asymptotically normal estimators of the ruin probability for Lévy insurance surplus from discrete samples

Shimizu, Yasutaka; Zhang, Zhimin - In: Risks 7 (2019) 2, pp. 1-22

A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a … spectrally negative Lévy insurance risk. We consider the Laguerre series expansion of ruin probability, and provide an estimator … not only a point estimation of ruin probability but also an approximated interval estimation and testing hypothesis. …

Persistent link: https://www.econbiz.de/10013200455

Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model

Dębicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz - In: Risks 7 (2019) 3, pp. 1-21

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines are ruined in an infinite-time horizon), where u...

Persistent link: https://www.econbiz.de/10013200501

Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model

Dębicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz - In: Risks : open access journal 7 (2019) 3/83, pp. 1-21

Persistent link: https://www.econbiz.de/10012127541

Asymptotically normal estimators of the ruin probability for Lévy insurance surplus from discrete samples

Shimizu, Yasutaka; Zhang, Zhimin - In: Risks : open access journal 7 (2019) 2/37, pp. 1-22

Persistent link: https://www.econbiz.de/10012019305

On the time and the number of claims when the surplus drops below a certain level

Li, Shuanming; Lu, Yi - 2014

Persistent link: https://www.econbiz.de/10011342003

Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model

Jiang, Zhengjun - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 234-243

-scale functions and Markov property to prove that ultimate ruin probability is the fixed point of a contraction mapping in terms of q …-scale functions and that ultimate ruin probability can be calculated by constructing an iterative algorithm to approximate the fixed … parameters modulated by a finite-state irreducible Markov chain. The main purpose of this paper is to calculate ultimate ruin …

Persistent link: https://www.econbiz.de/10013370498

Gambler's ruin problem in a Markov-modulated jump-diffusion risk model

Liu, Yuxuan; Jiang, Zhengjun; Qu, Yixin - In: Scandinavian actuarial journal 2022 (2022) 8, pp. 682-694

Persistent link: https://www.econbiz.de/10013370732

On capital allocation for a risk measure derived from ruin theory

Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 104 (2022), pp. 76-98

Persistent link: https://www.econbiz.de/10013264939

Company value with ruin constraint in a discrete model

Hipp, Christian - In: Risks 6 (2018) 1, pp. 1-14

Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be solved numerically by three essentially different methods. One is based on a modified Bellman equation and the policy improvement method (see Hipp (2003)). In this paper we use...

Persistent link: https://www.econbiz.de/10011996564

The exponential estimate of the ultimate ruin probability for the non-homogeneous renewal risk model

Kizinevič, Edita; Šiaulys, Jonas - In: Risks 6 (2018) 1, pp. 1-17

independent but possibly non-identically distributed. The easily verifiable conditions are found such that the ultimate ruin … probability of the model satisfies the exponential estimate exp{-qu} for all values of the initial surplus uÏ0. Algorithms to …

Persistent link: https://www.econbiz.de/10011996578