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Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Feng, Runhuan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

Persistent link: https://www.econbiz.de/10013026457

Ruin problems in a discrete risk model in a Markovian environment

Yoo, Hyun Joo; Kim, Jerim - In: Journal of risk 24 (2021) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10013284824

A risk model with an observer in a Markov environment

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Risks : open access journal 1 (2013) 3, pp. 148-161

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment … argument and spectral theory, we establish an explicit formula for the resulting survival probabilities in this general setting …

Persistent link: https://www.econbiz.de/10010338338

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

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

Ruin probabilities with dependence on the number of claims within a fixed time window

Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims …

Persistent link: https://www.econbiz.de/10011507555

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

Uniform estimate for randomly weighted sums of dependent subexponential random variables

Liu, Yan; Zhang, Qinqin - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 303-318

Persistent link: https://www.econbiz.de/10011407748

Numerical ruin probability in the dual risk model with risk-free investments

Loke, Sooie-Hoe; Thomann, Enrique - In: Risks : open access journal 6 (2018) 4, pp. 1-13

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is …

Persistent link: https://www.econbiz.de/10011906144