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 business lines …

In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes …. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin … can further determine their asymptotics. This allows us to recover the ruin probabilities obtained for general premiums …

subordinator, a simple and direct method for determining the finite time (and ultimate) ruin probabilities, the distribution of the … ruin severity, the reserves prior to ruin, and the Laplace transform of the ruin time. Interestingly, the usual net profit …

. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees …

the development of a recursive computational procedure to calculate the finite-time ruin probabilities and expected total … discounted dividends paid prior to ruin associated with this model. We investigate several numerical examples and make some … observations concerning the impact our threshold levels have on the finite-time ruin probabilities and expected total discounted …

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims … asymptotic results of ruin probabilities for different regimes of claim distributions. For numerical results, we recognise an … embedded Markov additive process, and via an appropriate change of measure, ruin probabilities could be computed to a closed …

their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability. We … study the corresponding ruin probability on the assumption of (i) a phase-type distribution for the time at which default … analytical expression for the ruin probability is not tractable under these assumptions, so Cramér Lundberg bounds types are …

Motivated by the EU Solvency II Directive, we study the one-year ruin probability of an insurer who makes investments … main results, we derive exact asymptotic estimates for the one-year ruin probability for the following cases: (i) X and Y …