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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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How much we gain by surplus-dependent premiums : asymptotic analysis of ruin probability
Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks : open access journal 9 (2021) 9, pp. 1-17
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 …
Persistent link: https://www.econbiz.de/10012612558
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Flexible Dependence Modeling of Operational Risk Losses and Its Impact on Total Capital Requirements
Brechmann, Eike - 2013
Operational risk data, when available, are usually scarce, heavy-tailed and possibly dependent. In this work, we introduce a model that captures such real-world characteristics and explicitly deals with heterogeneous pairwise and tail dependence of losses. By considering flexible families of...
Persistent link: https://www.econbiz.de/10013083218
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Modeling Dependence of Operational Loss Frequencies
Brechmann, Eike - 2013
Modeling dependence among operational loss frequencies is a natural way of trying to capture possible relationships between losses, which are categorized differently with respect to the business line or the event type, but which have occurred simultaneously.We propose a model that explicitly...
Persistent link: https://www.econbiz.de/10013073894
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On a fuzzy cash flow model with insurance applications
Ungureanu, Daniela; Vernic, Raluca - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 1, pp. 39-54
Persistent link: https://www.econbiz.de/10010513465
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A modified insurance risk process with uncertainty
Yao, Kai; Qin, Zhongfeng - In: Insurance / Mathematics & economics 62 (2015), pp. 227-233
Persistent link: https://www.econbiz.de/10011312063
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Ambiguity and insurance : robust capital requirements and premiums
Walker, Oliver; Dietz, Simon - 2012
Persistent link: https://www.econbiz.de/10009675055
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Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model
Vernic, Raluca - In: Fuzzy optimization and decision making : a journal of … 15 (2016) 2, pp. 195-217
Persistent link: https://www.econbiz.de/10011647317
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Approximating the density of the time to ruin via fourier-cosine series expansion
Zhang, Zhimin - In: Astin bulletin : the journal of the International … 47 (2017) 1, pp. 169-198
Persistent link: https://www.econbiz.de/10011670873
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On fair reinsurance premiums : capital injections in a perturbed risk model
Ben Salah, Zied; Garrido, José - In: Insurance / Mathematics & economics 82 (2018), pp. 11-20
Persistent link: https://www.econbiz.de/10011929775