相关论文: Computation of ruin probabilities for general disc…

We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, {\gamma}-reflected, Parisian and cumulative Parisian) for the case that ruin can occur only on specific discrete grids. A practical…

We apply the theory of linear recurrence sequences to find an expression for the ultimate ruin probability in a discrete-time risk process. We assume the claims follow an arbitrary distribution with support $\{0,1,\ldots,m\}$, for some…

The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.

In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin…

We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by…

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…

We study the discrete time risk process modelled by the skip-free random walk and we derive the results connected to the ruin probability, such as crossing the fixed level, for this kind of process. We use the method relying on the…

In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider few versions of the ruin…

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.

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…

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…

This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and…

We study the rough asymptotic behaviour of a general economic risk model in a discrete setting. Both financial and insurance risks are taken into account. Loss during the first $n$ years is modelled as a random variable…

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…

We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power…

Parisian ruin probability in the classical Brownian risk model, unlike the standard ruin probability can not be explicitly calculated even in one-dimensional setup. Resorting on asymptotic theory, we derive in this contribution an…

We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process.…

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…

In this paper, we adapt the classic Cram\'er-Lundberg collective risk theory model to a perturbed model by adding a Wiener process to the compound Poisson process, which can be used to incorporate premium income uncertainty, interest rate…

We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…