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Parisian ruin with exponential claims
Dassios, Angelos; Wu, Shanle - London School of Economics (LSE) - 2008
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the … classical surplus process with exponential jump size, we obtain the Laplace transform of the time of ruin and the probability of … ruin in the infinite horizon. We also consider a diffusion approximation and use it to obtain similar results for the …
Persistent link: https://www.econbiz.de/10010745397
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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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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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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 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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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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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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Asymptotic behavior of the finite time ruin probability of a gamma Levy process
Michna, Zbigniew; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 2007
derive here the asymptotic behavior (lower and upper bounds) of the finite time ruin probability for any gamma Levy process. …
Persistent link: https://www.econbiz.de/10010626141
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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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Child-Care and Participation in the Labor Market for Married Women in Mediterranean Countries
Nicodemo, Catia; Waldmann, Robert - Institute for the Study of Labor (IZA) - 2009
Parents in the labor force have balance their work and home life, including the choice of the type of care to provide for their children while they work. In this paper we study the connection between the married women's labor force participation, child care arrangements and the time that...
Persistent link: https://www.econbiz.de/10005822161