Related papers: Ruin under stochastic dependence between premium a…
We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees…
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently…
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In…
We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability. In particular, we get an…
The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and inter-premium times are modeled by…
This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…
This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.
This paper considers the ruin problem with random premiums, whose densities have rational Laplace transforms, and investments in a risky asset whose price follows a geometric Brownian motion. The asymptotic behavior of the ruin probability…
In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton…
We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend…
We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function $P(u)$ for the component-wise ruin (that is both…
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a…
We study the ruin problem over a risk process described by a discrete-time Markov model. In contrast to previous studies that focused on the asymptotic behaviour of ruin probabilities for large values of the initial capital, we provide a…
Based on a discrete version of the Pollaczeck-Khinchine formula, a general method to calculate the ultimate ruin probability in the Gerber-Dickson risk model is provided when claims follow a negative binomial mixture distribution. The…
In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a…
The paper considers very general multivariate modifications of Cramer-Lundberg risk model. The claims can be of different types and can arrive in groups. The groups arrival processes within a type have constant intensities. The counting…
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset. The price of the latter is assumed to…
We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…
In this contribution we study asymptotics of the simultaneous Parisian ruin probability of a two-dimensional fractional Brownian motion risk process. This risk process models the surplus processes of an insurance and a reinsurance…