Discrete‐Time Risk Model With Time‐Varying Premiums: Analysis of Ruin Probabilities
Sign Up to like & getrecommendations! Published in 2024 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2915
Abstract: Our paper explores a discrete‐time risk model with time‐varying premiums, investigating two types of correlated claims: main claims and by‐claims. Settlement of the by‐claims can be delayed for up to two time periods, representing real‐world… read more here.
Keywords: discrete time; time; time varying; varying premiums ... See more keywords
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process
Sign Up to like & getrecommendations! Published in 2019 at "Finance and Stochastics"
DOI: 10.1007/s00780-019-00413-3
Abstract: We study the asymptotics of the ruin probability for a process which is the solution of a linear SDE defined by a pair of independent Lévy processes. Our main interest is a model describing the… read more here.
Keywords: generalised ornstein; driven generalised; ornstein uhlenbeck; ruin probabilities ... See more keywords
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
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
A unified approach to ruin probabilities with delays for spectrally negative Lévy processes
Sign Up to like & getrecommendations! Published in 2019 at "Scandinavian Actuarial Journal"
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