Search Results - subject:"Ruin probabilities"

Ruin probability in a two-dimensional model with correlated Brownian motions

Grandits, Peter; Klein, Maike - In: Scandinavian actuarial journal 2021 (2021) 5, pp. 362-379

Persistent link: https://www.econbiz.de/10012588338

Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation

Biard, Romain - HAL - 2013

asymptotics of finite-time ruin probabilities. Capital transfers between lines are partially allowed. When claim amounts are …

Persistent link: https://www.econbiz.de/10010820953

Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings

Biard, Romain; Lefèvre, Claude; Loisel, Stéphane; … - HAL - 2011

, for large initial reserves, the asymptotic finite-time ruin probabilities of the company when the claim sizes have a heavy …

Persistent link: https://www.econbiz.de/10008790638

Impact of correlation crises in risk theory

Biard, Romain; Lefèvre, Claude; Loisel, Stéphane - HAL - 2008

stationarity assumptions and extend some asymptotic results on finite-time ruin probabilities, to take into account possible …

Persistent link: https://www.econbiz.de/10008790722

Optimal dynamic XL reinsurance

Hipp, Christian; Vogt, Michael - 2003

We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...

Persistent link: https://www.econbiz.de/10005846359

Optimal dynamic XL reinsurance

Hipp, Christian; Vogt, Michael - International Actuarial Association / Actuarial Studies … - 2003

We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton- Jacobi- Bellmann equation as well...

Persistent link: https://www.econbiz.de/10005847003

On the density and moments ot the time of ruin with exponential claims

Drekic, Steve; Willmot, Gordon E. - International Actuarial Association / Actuarial Studies … - 2003

The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform.

Persistent link: https://www.econbiz.de/10005847032

Asymptotic ruin probabilities and optimal investment

Gaier, J.; Grandits, P.; Schachermayer, W. - 2002

This paper shows the infinite time ruin probability for an insurance company in the classical Cramér-Lundberg model with finite exponential moments.

Persistent link: https://www.econbiz.de/10005844782

Edangian Approximations for Finite-Horizon Ruin Probabilities

Asmussen, Soren; Avram, Florin; Usabel, Miguel - International Actuarial Association / Actuarial Studies … - 2002

ERLANGIAN APPROXIMATIONS FOR FINITE-HORIZON RUIN PROBABILITIES BY SOREN ASMUSSEN 1, FLORIN AVRAM 2 AND MIGUEL USABEL … expiration, extrapolation, rmite time ruin probabilities, fluid model, phase- type distributions, semi-Markov embedding. 1 … ERLANGIAN APPROXIMATIONS FOR FINITE-HORIZON RUIN PROBABILITIES 269 ultimately (at least for constant premiums) this type of …

Persistent link: https://www.econbiz.de/10005847061

The Distribution of the Time to Ruin in the Classical Risk Model

Dickson, David C.M.; Waters, Howard R. - International Actuarial Association / Actuarial Studies … - 2002

this distribution, in particular by using algorithms to calculate finite time ruin probabilities. We also discuss … finite and infinite time ruin probabilities, and of approximating the distribution of the time to ruin in the classical … time ruin probabilities. In particular, when the individual claim amount distribution is exponential, a formula exists …

Persistent link: https://www.econbiz.de/10005847063