Articles with "ruin probability" as a keyword



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An improved optimal trigonometric ELM algorithm for numerical solution to ruin probability of Erlang(2) risk model

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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… read more here.

Keywords: numerical solution; model; solution; ruin probability ... See more keywords
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Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior

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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… read more here.

Keywords: ruin; probabilities investments; ordinary differential; ruin probabilities ... See more keywords

Finite-time ruin probability for correlated Brownian motions

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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… read more here.

Keywords: finite time; time ruin; ruin probability; probability correlated ... See more keywords
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The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims

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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… read more here.

Keywords: ruin probability; time; risk model; time ruin ... See more keywords
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Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments

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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… read more here.

Keywords: risk model; risk; dual risk; ruin probability ... See more keywords
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Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem

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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… read more here.

Keywords: ruin; probability functions; ruin probability; functions severity ... See more keywords