相关论文: On ruin probabilities with risky investments

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…

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 a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion.…

In ruin theory, the net profit condition intuitively means that the incurred random claims on average do not occur more often than premiums are gained. The breach of the net profit condition causes guaranteed ruin in few but simple cases…

In this contribution we study asymptotics of the simultaneous Parisian ruin probability of a two-dimensional fractional Brownian motion risk process. This risk process models the surplus processes of an insurance and a reinsurance…

We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stochastic economic environment and study the extremes for some related Markovian processes which arise in financial and insurance mathematics,…

We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing…

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is…

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…

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…

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…

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function $P(u)$ for the component-wise ruin (that is both…

The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite-time horizon. This is not the case for the simultaneous ruin probability in two-dimensional Brownian risk model. Resorting…

The aim of this paper is to construct the confidence interval of the ultimate ruin probability under the insurance surplus driven by a L\'evy process. Assuming a parametric family for the L\'evy measures, we estimate the parameter from the…

In this paper we determine bounds and exact asymptotics of the ruin probability for risk process with arrivals given by a linear marked Hawkes process. We consider the light-tailed and heavy-tailed case of the claim sizes. Main technique is…

This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…

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…

We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to…

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…

In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result,…