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How much we gain by surplus-dependent premiums : asymptotic analysis of ruin probability

Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks : open access journal 9 (2021) 9, pp. 1-17

In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes. Applying the approximation theory of solutions of linear...

Persistent link: https://www.econbiz.de/10012612558

Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87

Persistent link: https://www.econbiz.de/10010385027

Simulation analysis of ruin capital in Sparre Andersen's model of risk

Malinovskii, Vsevolod K.; Kosova, Ksenia O. - In: Insurance / Mathematics & economics 59 (2014), pp. 184-193

Persistent link: https://www.econbiz.de/10010469136

Asymptotic finite-time ruin probability for bidimensional renewal risk model with constant interest force and dependent subexponential claims

Yang, Haizhong; Li, Jinzhu - In: Insurance / Mathematics & economics 58 (2014), pp. 185-192

Persistent link: https://www.econbiz.de/10010437565

On a discrete-time risk model with claim correlated premiums

Wu, Xueyuan; Chen, Mi; Guo, Junyi; Jin, Can - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 2, pp. 322-342

Persistent link: https://www.econbiz.de/10011542048

Gerber-Shiu functionals for classical risk processes perturbed by an α-stable motion

Kolkovska, Ekaterina T.; Martín-González, Ehyter M. - In: Insurance / Mathematics & economics 66 (2016), pp. 22-28

Persistent link: https://www.econbiz.de/10011442663

Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims

Raducan, Anisoara Maria; Vernic, Raluca; Zbaganu, Gheorghita - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 421-443

Persistent link: https://www.econbiz.de/10011312279

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

On a discrete-time two level NCD risk model

Wu, Xueyuan; Chen, Mi; Guo, Junyi - 2014

Persistent link: https://www.econbiz.de/10011342004

On some aspects of maximum severity of ruin

Das, Palash Ranjan; Chakrabarti, Tripti - In: Metamorphosis : a journal of management research 15 (2016) 2, pp. 109-114

Persistent link: https://www.econbiz.de/10011667403