相关论文: Parisian ruin probability for two-dimensional Brow…

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…

In recent years there has been some focus on quasi-stationary behaviour of an one-dimensional L\'evy process $X$, where we ask for the law $P(X_t\in dy | \tau^-_0>t)$ for $t\to\infty$ and $\tau_0^-=\inf\{t\geq 0: X_t<0\}$. In this paper we…

In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve…

We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend…

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…

This paper presents a novel model for bivariate stochastic fluid processes that incorporate a ruin-dependent behavioral switch. Unlike typical models that assume a shared underlying process, our model allows each process to operate…

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…

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 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.…

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…

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…

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance…

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…

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…

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 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…

In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market…

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…

In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin…

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…