Minimizing the Probability of Lifetime Exponential Parisian Ruin
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DOI: 10.1007/s10957-019-01595-8
Abstract: We find the optimal investment strategy in a Black–Scholes market to minimize the probability of so-called lifetime exponential Parisian ruin , that is, the probability that wealth exhibits an excursion below zero of an exponentially… read more here.
Keywords: lifetime exponential; probability; exponential parisian; probability lifetime ... See more keywords
Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
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DOI: 10.1007/s42952-019-00031-x
Abstract: In this paper, we obtain the weakly asymptotic formulas of the tail probabilities of randomly weighted sums and their maximum of dominated varying-tailed random variables under a general conditional dependence structure, where the corresponding random… read more here.
Keywords: application; weighted sums; ruin; dominated varying ... See more keywords
The conservation and repair of historical masonry ruins based on laboratory analyses
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DOI: 10.1016/j.conbuildmat.2016.12.002
Abstract: Abstract Historical masonry structures that remained under the ground due to settlement have to be revealed and preserved because of their historical values. The study focuses on assessment of wall ruin from early Byzantine period… read more here.
Keywords: conservation repair; ruin; historical masonry; masonry ... See more keywords
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior
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DOI: 10.1017/jpr.2021.74
Abstract: Abstract This study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserves in a risky asset with the price dynamics given by a… read more here.
Keywords: ruin; probabilities investments; ordinary differential; ruin probabilities ... See more keywords
Ruin probabilities in multivariate risk models with periodic common shock
Sign Up to like & getrecommendations! Published in 2017 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2015.1094404
Abstract: We propose a multidimensional risk model where the common shock affecting all classes of insurance business is arriving according to a non-homogeneous periodic Poisson process. In this multivariate setting, we derive upper bounds of Lundberg-type… read more here.
Keywords: risk; probabilities multivariate; ruin; ruin probabilities ... See more keywords
Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
Sign Up to like & getrecommendations! Published in 2017 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2017.1391872
Abstract: Abstract Let be a standard Brownian motion. In this paper, we derive the asymptotics of the probability of Parisian ruin over an infinite time horizon for the following risk process (0.1) where is the initial… read more here.
Keywords: time horizon; ruin; parisian ruin; brownian motion ... See more keywords
A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
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DOI: 10.1080/03461238.2019.1598890
Abstract: ABSTRACT In this paper, we unify two popular approaches for the definition of actuarial ruin with implementation delays, also known as Parisian ruin. Our new definition of ruin includes both deterministic delays and exponentially distributed… read more here.
Keywords: approach ruin; ruin; probabilities delays; ruin probabilities ... See more keywords
Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem
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DOI: 10.3390/risks7020068
Abstract: It is known that the classical ruin function under exponential claim-size distribution depends on two parameters, which are referred to as the mean claim size and the relative security loading. These parameters are assumed to… read more here.
Keywords: ruin; probability functions; ruin probability; functions severity ... See more keywords