Similar Search Results

Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion

Cheung, Eric C. K.; Zhang, Zhimin - In: Scandinavian actuarial journal 2021 (2021) 9, pp. 804-831

Persistent link: https://www.econbiz.de/10012653689

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

. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin …

Persistent link: https://www.econbiz.de/10012612558

Functional sensitivity analysis of ruin probability in the classical risk models

Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; … - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 936-968

Persistent link: https://www.econbiz.de/10012696894

On capital allocation for a risk measure derived from ruin theory

Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 104 (2022), pp. 76-98

Persistent link: https://www.econbiz.de/10013264939

A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

Chen, Yiqing; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 75-81

Persistent link: https://www.econbiz.de/10011702058

Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

An optimization approach to adaptive multi-dimensional capital management

Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 84 (2019), pp. 87-97

Persistent link: https://www.econbiz.de/10011990447

Numerical ruin probability in the dual risk model with risk-free investments

Loke, Sooie-Hoe; Thomann, Enrique - In: Risks : open access journal 6 (2018) 4, pp. 1-13

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated...

Persistent link: https://www.econbiz.de/10011906144

On dividends in the phase-type dual risk model

Bergel, Agnieszka I.; Rodríguez-Martínez, Eugenio V.; … - In: Scandinavian actuarial journal (2017) 9, pp. 761-784

Persistent link: https://www.econbiz.de/10011848663

Discrete time ruin probability with Parisian delay

Czarna, Irmina; Palmowski, Zbigniew; Świa̧tek, Przemysław - In: Scandinavian actuarial journal (2017) 10, pp. 854-869

Persistent link: https://www.econbiz.de/10011848700