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Published in 2020 at "Multimedia Tools and Applications"
DOI: 10.1007/s11042-020-09382-8
Abstract: In this paper, we focus on accurately calculating the numerical solution of the integral-differential equation for ruin probability in Erlang(2) renewal risk model with arbitrary claim distribution. Because the analytical solutions of the equation do…
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Keywords:
numerical solution;
model;
solution;
ruin probability ... See more keywords
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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…
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Keywords:
ruin;
probabilities investments;
ordinary differential;
ruin probabilities ... See more keywords
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Published in 2020 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2021.1902853
Abstract: Let be a two-dimensional Gaussian process with standard Brownian motion marginals and constant correlation . Define the joint survival probability of both supremum functionals by where and u, v are given positive constants. Approximation of…
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Keywords:
finite time;
time ruin;
ruin probability;
probability correlated ... See more keywords
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Published in 2017 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2015.1030428
Abstract: ABSTRACT This article studies a continuous-time bidimensional risk model, in which an insurer simultaneously confronts two kinds of claim sharing a common renewal claim-number process. Under the assumption that the claim size vectors form a…
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Keywords:
ruin probability;
time;
risk model;
time ruin ... See more keywords
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1
Published in 2018 at "Risks"
DOI: 10.3390/risks6040110
Abstract: In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral…
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Keywords:
risk model;
risk;
dual risk;
ruin probability ... See more keywords
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Published in 2019 at "Risks"
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…
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Keywords:
ruin;
probability functions;
ruin probability;
functions severity ... See more keywords