Search Results - subject:"finite time ruin probability"

Some ruin problems for the MAP risk model

Li, Jingchao; Dickson, David C. M.; Li, Shuanming - In: Insurance / Mathematics & economics 65 (2015), pp. 1-8

Persistent link: https://www.econbiz.de/10011422838

Ruin with insurance and financial risks following the least risky FGM dependence structure

Chen, Yiqing; Liu, Jiajun; Liu, Fei - In: Insurance / Mathematics & economics 62 (2015), pp. 98-106

Persistent link: https://www.econbiz.de/10011312084

On a partial integrodifferential equation of Seal’s type

Willmot, Gordon E. - In: Insurance / Mathematics & economics 62 (2015), pp. 54-61

Persistent link: https://www.econbiz.de/10011312088

Finite time ruin probability of the compound renewal model with constant interest rate and weakly negatively dependent claims with heavy tails

Thampi, K. K. - In: International game theory review 17 (2015) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010526708

Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin.

Loisel, Stéphane; Mazza, Christian; Rullière, Didier - HAL - 2008

concepts of reliable finite-time ruin probability as a Value-at-Risk of the estimator of the finite-time ruin probability. To …

Persistent link: https://www.econbiz.de/10008791834

The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

Sun, Ying; Wei, Li - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 178-183

structure of (X,Y), we establish for the finite-time ruin probability an asymptotic formula, which coincides with the long …

Persistent link: https://www.econbiz.de/10011116639

The density of the time of ruin in the classical risk model with a constant dividend barrier

Li, Shuanming; Lu, Yi - In: Annals of actuarial science : publ. by the Institute of … 8 (2014) 1, pp. 63-78

Persistent link: https://www.econbiz.de/10010358004

The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

Sun, Ying; Wei, Li - In: Insurance / Mathematics & economics 59 (2014), pp. 178-183

Persistent link: https://www.econbiz.de/10010469138

Survival probabilities in bivariate risk models, with application to reinsurance

Castañer, A.; Claramunt, M.M.; Lefèvre, C. - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 632-642

This paper deals with an insurance portfolio that covers two interdependent risks. The central model is a discrete-time bivariate risk process with independent claim increments. A continuous-time version of compound Poisson type is also examined. Our main purpose is to develop a numerical method...

Persistent link: https://www.econbiz.de/10011046673

Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest

Gao, Qingwu; Liu, Xijun - In: Statistics & Probability Letters 83 (2013) 6, pp. 1527-1538

This paper investigates the finite-time ruin probability in a risk model with constant force of interest, upper tail …

Persistent link: https://www.econbiz.de/10010664067