相关论文: Discrete time ruin probability with Parisian delay

Let $\left\{\sum_{i=1}^n \lambda_i X_i(t), t\in [0,T]\right\}$ be an aggregate Gaussian risk process with $X_i, i\leq n$ independent Gaussian processes satisfying Piterbarg conditions and $\lambda_i$'s given positive weights. In this paper…

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…

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…

Let $\textbf{Z}(t)=(Z_1(t) ,\ldots, Z_d(t))^\top , t \in \mathbb{R}$ where $Z_i(t), t\in \mathbb{R}$, $i=1,...,d$ are mutually independent centered Gaussian processes with continuous sample paths a.s. and stationary increments. For…

We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,\dots$) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model…

We derive formulas for the moments of the ruin time in a L\'evy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity. In the special case of the perturbed…

Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative L\'evy process with Parisian implementation delays. To be specific, we study the so-called…

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…

In this paper, we introduce an insurance ruin model with adaptive premium rate, thereafter refered to as restructuring/refraction, in which classical ruin and bankruptcy are distinguished. In this model, the premium rate is increased as…

In the extended gambler's ruin problem we can move one step forward or backward (classical gambler's ruin problem), we can stay where we are for a time unit (delayed action) or there can be absorption in the current state (game is…

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…

We consider the multivariate risk model with common renewal process among the lines of business, and Brownian perturbations. Assuming that the integrated tail distribution of claims is multivariate subexponential, we establish an asymptotic…

In this paper, we study a dual risk model with delays in the spirit of Dassios-Zhao. When a new innovation occurs, there is a delay before the innovation turns into a profit. We obtain large initial surplus asymptotics for the ruin…

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…

We study the asymptotics of the ruin probability in the Cram\'er-Lundberg model with a modified notion of ruin. The modification is as follows. If the portfolio becomes negative, the asset is not immediately declared ruined but may survive…

We consider a $d-$dimensional insurance network, with initial capital $a\in\R^d_+,$ operating under a risk diversifying treaty; this is described in terms of a regulated random walk $\{Z^{(a)}_n\}$ via Skorokhod problem in $\R^d_+$ with…

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…

We find the optimal investment strategy in a Black-Scholes market to minimize the probability of so-called {\it lifetime exponential Parisian ruin}, that is, the probability that wealth exhibits an excursion below zero of an exponentially…

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…

We consider an insurance company in the case when the premium rate is a bounded non-negative random function $c_\zs{t}$ and the capital of the insurance company is invested in a risky asset whose price follows a geometric Brownian motion…