Search Results - subject:"finite-time ruin"

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

Yao, Jing (contributor); Hu, Xiang (contributor); … - 2024

Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...

Persistent link: https://www.econbiz.de/10015325017

Finite-time ruin probabilities using bivariate Laguerre series

Cheung, Eric C. K.; Lau, Hayden; Willmot, Gordon E.; … - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 153-190

Persistent link: https://www.econbiz.de/10014325041

Discrete-time risk models with claim correlated premiums in a Markovian environment

Osatakul, Dhiti; Wu, Xueyuan - In: Risks 9 (2021) 1, pp. 1-23

finite-time ruin probabilities, and Lundberg-type upper bounds are also derived to evaluate the ultimate-time ruin …

Persistent link: https://www.econbiz.de/10013200696

Discrete-time risk models with claim correlated premiums in a Markovian environment

Osatakul, Dhiti; Wu, Xueyuan - In: Risks : open access journal 9 (2021) 1/26, pp. 1-23

finite-time ruin probabilities, and Lundberg-type upper bounds are also derived to evaluate the ultimate-time ruin …

Persistent link: https://www.econbiz.de/10012423153

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 111 (2023), pp. 84-101

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

Moment and polynomial bounds for ruin-related quantities in risk theory

He, Yue; Kawai, Reiichiro - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1255-1271

Persistent link: https://www.econbiz.de/10013363852

On the distribution of classic and some exotic ruin times

Landriault, David; Li, Bin; Shi, Tianxiang; Xu, Di - In: Insurance 89 (2019), pp. 38-45

Persistent link: https://www.econbiz.de/10012133504

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

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

On the distribution of cumulative Parisian ruin

Guérin, Hélène; Renaud, Jean-François - In: Insurance 73 (2017), pp. 116-123

Persistent link: https://www.econbiz.de/10011702054