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The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform.
Persistent link: https://www.econbiz.de/10005847032
We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...
Persistent link: https://www.econbiz.de/10005846359
We study the distribution of the time to ruin in the classical risk model. We consider some methods of calculating this distribution...
Persistent link: https://www.econbiz.de/10005847063
This paper shows the infinite time ruin probability for an insurance company in the classical Cramér-Lundberg model with finite exponential moments.
Persistent link: https://www.econbiz.de/10005844782
We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton- Jacobi- Bellmann equation as well...
Persistent link: https://www.econbiz.de/10005847003
For the Cramer-Lundberg risk model with phase-type claims, it is shown that the probability of ruin before an independent phase-type time H coincides with the ruin probability in a certain Markovian fluid model and therefore has an matrix-exponential form. When H is exponential, this yields in...
Persistent link: https://www.econbiz.de/10005847061
In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the finite time ruin probability is well given when the claim amount distribution is a mixed exponential... br>
Persistent link: https://www.econbiz.de/10005847070
In this paper we use Fourier/Laplace transforms to evaluate numerically relevant probabilities in ruin theory as an application to insurance. ... We use an inversion formula based on the real part only, to get the original function.
Persistent link: https://www.econbiz.de/10005847071
We are dealing with the ruin probability and the expected ruin time in a two state Markov model ...
Persistent link: https://www.econbiz.de/10005847087
The standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and algorithms based on transforms, both apply to lattice-type distributions only and therefore require...
Persistent link: https://www.econbiz.de/10005847107