Related papers: Ruin probability for the quota share model with~ph…
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative L\'{e}vy insurance model when the…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{e}vy insurance risk process. For this…
Computational modeling of faulting processes is an essential tool for understanding earthquake mechanics but remains challenging due to the structural and material complexities of fault zones. The phase-field method has recently enabled…
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…
The use of cumulative incidence functions for characterizing the risk of one type of event in the presence of others has become increasingly popular over the past decade. The problems of modeling, estimation and inference have been treated…
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that there are $n$ insurance companies each bearing a certain risk…
In this paper, we introduce a new extension of the generalized linear failure rate distributions. It includes some well-known lifetime distributions such as extension of generalized exponential and generalized linear failure rate…
In risk analysis, a global fit that appropriately captures the body and the tail of the distribution of losses is essential. Modelling the whole range of the losses using a standard distribution is usually very hard and often impossible due…
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…
In this paper we propose a new lifetime model, called the odd generalized exponential linear failure rate distribution. Some statistical properties of the proposed distribution such as the moments, the quantiles, the median, and the mode…
Distorted distributions were introduced in the context of actuarial science for several variety of insurance problems. In this paper we consider the quantile-based probabilistic mean value theorem given in Di Crescenzo et al. [4] and…
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admissible indemnities are such that both the indemnity and…
In this communication, we introduce a new statistical model and study its various mathematical properties. The expressions for hazard rate, reversed hazard rate, and odd functions are provided. We explore the asymptotic behaviors of the…
The assurance method is growing in popularity in clinical trial planning. The method involves eliciting a prior distribution for the treatment effect, and then calculating the probability that a proposed trial will produce a `successful'…
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…
In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis & Macheras [24], is applied to the ruin problem in order to compute the ruin probability and to find upper and lower bounds…
In this paper, we consider catastrophe stop-loss reinsurance valuation for a reinsurance company with dynamic contagion claims. To deal with conventional and emerging catastrophic events, we propose the use of a compound dynamic contagion…
Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects of loss data. This is recognised in…