相关论文: Approximations of the ruin probability in a discre…
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.
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…
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…
In this work, we propose a simplification of the Pollaczek-Khinchine formula for the ultimate time survival (or ruin) probability calculation in exchange for a few assumptions on the random variables which generate the renewal risk model.…
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…
This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\ldots\}$, at times…
We consider the classical Cram\'er-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound representation, we propose control variate techniques to…
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 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…
In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where the dividend threshold $d=0$ and $d>0$…
We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy process with zero expectation. We derive a Pollaczek-Hinchin type…
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…
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 investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the…
In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk…
Consider a surplus process which both of collected premium and payed claim size are two independent compound Poisson processes. This article derives two approximated formulas for the ruin probability of such surplus process, say double…
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 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 studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is…