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Discounted penalty function at Parisian ruin for Lévy insurance risk process
Loeffen, R.; Palmowski, Z.; Surya, B. A. - In: Insurance / Mathematics & economics 83 (2018), pp. 190-197
Persistent link: https://www.econbiz.de/10011944136
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Risk process estimation techniques used in the optimisation of financial resources of an insurance company
Mircea, Iulian; Serban, Radu; Covrig, Mihaela - In: International Journal of Computational Economics and … 1 (2009) 2, pp. 225-237
In an insurance company, the risk process estimation and the estimation of the ruin probability are important concerns … present some methods for the evaluation of the ruin probability and the reserve fund. We discuss the ruin probability with …
Persistent link: https://www.econbiz.de/10009352400
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Monitoring risk in a ruin model perturbed by diffusion
Steinebach, Josef - In: Metrika 70 (2009) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10005061290
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An operational interpretation and existence of the Aumann–Serrano index of riskiness
Homm, Ulrich; Pigorsch, Christian - In: Economics Letters 114 (2012) 3, pp. 265-267
In this note we provide an operational interpretation of the economic index of riskiness of Aumann and Serrano (2008) and discuss its existence in the case of non-finite gambles.
Persistent link: https://www.econbiz.de/10010576477
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The equivalence of two tax processes
Al Ghanim, Dalal; Loeffen, Ronnie; Watson, Alexander R. - In: Insurance / Mathematics & economics 90 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012169491
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An optimal investment strategy with maximal risk aversion and its ruin probability
Fernández, Begoña; Hernández-Hernández, Daniel; … - In: Mathematical Methods of Operations Research 68 (2008) 1, pp. 159-179
as well as an estimate of the ruin probability when the optimal strategy is used. Copyright Springer-Verlag 2008 …
Persistent link: https://www.econbiz.de/10010999922
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On the Gerber–Shiu function for a risk model with multi-layer dividend strategy
Bratiichuk, Mykola - In: Statistics & Probability Letters 82 (2012) 3, pp. 496-504
multi-layer dividend strategy. The formulae for the Gerber–Shiu discounted function and ruin probability were obtained and …
Persistent link: https://www.econbiz.de/10010576148
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Alarm system for insurance companies: A strategy for capital allocation
Das, S.; Kratz, M. - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 53-65
the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by … those points to reduce the chance of ruin. To draw a fair measure of effectiveness of alarm system, comparison is drawn …
Persistent link: https://www.econbiz.de/10011046571
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An optimal investment strategy with maximal risk aversion and its ruin probability
Fernández, Begoña; Hernández-Hernández, Daniel; … - In: Computational Statistics 68 (2008) 1, pp. 159-179
as well as an estimate of the ruin probability when the optimal strategy is used. Copyright Springer-Verlag 2008 …
Persistent link: https://www.econbiz.de/10010759514
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Fiscal decentralisation in Colombia : new evidence regarding sustainability, risk sharing and "fiscal fatigue"
Bousquet, Guillaume; Daude, Christian; De la … - 2015
Colombia has engaged in a sustained process of fiscal decentralisation over the past decades. This paper analyses three aspects of fiscal performance for Colombia’s departments. First, it studies the sustainability aspects of subnational finances by estimating a fiscal reaction function....
Persistent link: https://www.econbiz.de/10011398841