Related papers: Ruin Probabilities for a Sparre Andersen Model wit…

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…

In this work the ruin probability of the Lundberg risk process is used as a criterion for determining the optimal security loading of premia in the presence of price-sensitive demand for insurance. Both single and aggregated claim processes…

We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes…

In this paper, we build on the techniques developed in Albrecher et al. (2013), to generate initial-boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim…

In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance…

In this paper a class of Ornstein--Uhlenbeck processes driven by compound Poisson processes is considered. The jumps arrive with exponential waiting times and are allowed to be two-sided. The jumps are assumed to form an iid sequence with…

We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative L\'evy process. The distinctive feature of this extension is that the…

We study the probability of ruin before time $t$ for the family of tempered stable L\'evy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution…

In this paper we investigate continuity properties for ruin probability in the classical risk model. Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin. These results are also…

Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…

This paper discusses Parisian ruin problem with capital injection for Levy insurance risk process. Capital injection takes place at the draw-down time of the surplus process when it drops below a pre-specified function of its last record…

In this paper we investigate the Parisian ruin probability for an integrated Gaussian process. Under certain assumptions, we find the Parisian ruin probability and the classical ruin probability are on the log-scale asymptotically the same.…

In this note, we study the ultimate ruin probabilities of a real-valued L{\'e}vy process X with light-tailed negative jumps. It is well-known that, for such L{\'e}vy processes, the probability of ruin decreases as an exponential function…

In this paper, we investigate Parisian ruin for a L\'evy surplus process with an adaptive premium rate, namely a refracted L\'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also…

We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a…

This paper investigates the Parisian ruin probability for processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptotics as the ruin boundary tends to infinity and extend the previous…

We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent L\'evy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the pro blem to long-term convergence of a…

We consider a surplus process of drifted fractional Brownian motion with the Hurst index $H>1/2$, which appears as a functional limit of drifted compound Poisson risk models with correlated claims, and this is a kind of representation of a…

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can be any purely non-Gaussian L\'evy process of not necessarily…

While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…