Search Results - subject:"Ruin Probability"

Karathanasopoulos, Andreas; Lo, Chia Chun; Ma, Xiaorong; … - In: Review of quantitative finance and accounting 57 (2021) 2, pp. 759-793

Persistent link: https://www.econbiz.de/10012549973

Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion

Cheung, Eric C. K.; Zhang, Zhimin - In: Scandinavian actuarial journal 2021 (2021) 9, pp. 804-831

Persistent link: https://www.econbiz.de/10012653689

De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts

Kim, Bara; Kim, Jeongsim; Kim, Jerim - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 186-201

Persistent link: https://www.econbiz.de/10012793923

The effects of largest claim and excess of loss reinsurance on a company's ruin time and valuation

Fan, Yuguang; Griffin, Philip S.; Maller, Ross; … - In: Risks 5 (2017) 1, pp. 1-27

's ruin probability, ruin time and value as determined by the dividend discounting model. We find that LCR is at least as … effective as EOL in averting ruin in comparable finite time horizon settings. In instances where the ruin probability for LCR is …

Persistent link: https://www.econbiz.de/10011709577

Optimal retention level for infinite time horizons under MADM

Karageyik, Başak Bulut; Şahin, Şule - In: Risks 5 (2017) 1, pp. 1-24

risk model assumptions, and we investigate the ultimate ruin probability. We consider optimal reinsurance under the minimum … ultimate ruin probability, as well as the maximum benefit criteria: released capital, expected profit and exponential …

Persistent link: https://www.econbiz.de/10011709584

Asymptotic estimates for the one-year ruin probability under risky investments

Liu, Jing; Zhang, Huan - In: Risks 5 (2017) 2, pp. 1-11

Motivated by the EU Solvency II Directive, we study the one-year ruin probability of an insurer who makes investments … main results, we derive exact asymptotic estimates for the one-year ruin probability for the following cases: (i) X and Y …

Persistent link: https://www.econbiz.de/10011709594

Asymptotic estimates for the one-year ruin probability under risky investments

Liu, Jing; Zhang, Huan - In: Risks : open access journal 5 (2017) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10011643424

The effects of largest claim and excess of loss reinsurance on a company's ruin time and valuation

Fan, Yuguang; Griffin, Philip S.; Maller, Ross A.; … - In: Risks : open access journal 5 (2017) 1, pp. 1-27

’s ruin probability, ruin time and value as determined by the dividend discounting model. We find that LCR is at least as … effective as EOL in averting ruin in comparable finite time horizon settings. In instances where the ruin probability for LCR is …

Persistent link: https://www.econbiz.de/10011636215

Optimal retention level for infinite time horizons under MADM

Karageyik, Başak Bulut; Şahin, Şule - In: Risks : open access journal 5 (2017) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011636516

Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance

Afonso, Lourdes B.; Cardoso, Rui M. R.; Reis, Alfredo … - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 417-435

Persistent link: https://www.econbiz.de/10011729575