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 …

In a virtual organization directed on the insurance business, the estimations of the risk process and of the ruin … this paper, we present some methods for the estimation of the ruin probability and for the evaluation of a reserve fund. We … discuss the ruin probability with respect to: the parameters of the individual claim distribution, the load factor of premiums …

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 …

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 …

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 introduce a generalization of the De Vylder approximation. Our idea is to approximate the ruin … studying mixture of exponentials and lognormal claims. In order to obtain exact values of the ruin probability for the …

as well as an estimate of the ruin probability when the optimal strategy is used. Copyright Springer-Verlag 2008 …