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Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin

Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 92 (2020), pp. 128-146

Persistent link: https://www.econbiz.de/10012242047

Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance

Afonso, Lourdes B.; Cardoso, Rui M. R.; Reis, Alfredo … - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 417-435

Persistent link: https://www.econbiz.de/10011729575

Optimal investment and reinsurance for an insurer under Markov-modulated financial market

Xu, Lin; Zhang, Liming; Yao, Dingjun - In: Insurance / Mathematics & economics 74 (2017), pp. 7-19

Persistent link: https://www.econbiz.de/10011712331

Interplay of subexponential and dependent insurance and financial risks

Chen, Yiqing - In: Insurance / Mathematics & economics 77 (2017), pp. 78-83

Persistent link: https://www.econbiz.de/10011783904

Some comparison results for finite-time ruin probabilities in the classical risk model

Lefevre, Claude; Trufin, Julien; Zuyderhoff, Pierre - In: Insurance / Mathematics & economics 77 (2017), pp. 143-149

Persistent link: https://www.econbiz.de/10011783950

Ruin probabilities in multivariate risk models with periodic common shock

Cojocaru, Ionica - In: Scandinavian actuarial journal (2017) 2, pp. 159-174

Persistent link: https://www.econbiz.de/10011772073

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

Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon

Bai, Long - In: Scandinavian actuarial journal (2018) 6, pp. 514-528

Persistent link: https://www.econbiz.de/10011939705

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