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Showing 1 to 9 of 9 for “"ruin probability"”.
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Dependent Risk Modelling and Ruin Probability: Numerical Computation and Applications
… thesis, we are concerned with the finite-time ruin probabilities in two alternative dependent risk models, the insurance risk model and the dual risk model, including the numerical evaluation of the explicit expressions for these quantities and the application of the probabilistic results …
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Advanced approaches to ruin probability and novel extensions of Hoeffding Inequalities in insurance mathematics
… the intricate relationships between ruin probability, risk management, and the complexities of financial mathematics has never been more imperative. This thesis provides a comprehensive exploration into the nuances of ruin probability and its critical importance in the modern …
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Ruin probability and Gerber-Shiu function for the discrete time risk model with inhomogeneous claims /
… and claims paid. The main risk measures, ruin probabilities and Gerber-Shiu function, are investigated and recursive formulas are obtained. These formulas give fast and accurate evaluation of the finite time ruin probabilities and Gerber-Shiu function. However, the infinite time …
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Asymptotic Behavior of Finite-Time Ruin Probability in a By-Claim Risk Model with Constant Interest Rate
… results of Li [8] and Wang [19], we study the ruin probability of a renewal risk model with constant interest rate and by-claim parts. We assume that the claim size and the inter-arrival time satisfy a certain dependent structure with some additional assumptions on their distribution functions. …
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Bankroto tikimybė nehomogeniniam rizikos atstatymo modeliu /
In the thesis ruin probability in an inhomogeneous renewal risk model is investigated. The main purpose of the thesis is to find conditions such that we could apply similar estimations of ruin probability for an inhomogeneous renewal risk model like for the homogeneous one. A Lundberg-type …
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Ruin Probabilities with Dependent Forces of Interest.
… discrete time risk models are introduced and ruin probabilities in these two models under dependent forces of interest are discussed. Recursive and integral equations for these ruin probabilities are given. Inequalities for the ruin probability estimation are derived by an inductive approach. …
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Analýza formulí pro kapitálovou přiměřenost neživotních pojišťoven
… requirement according to Schnieper due to the ruin probability. The Schnieper's model uses covariances between total risk and individual risks, that threatend the insurance company, to describe dependences between the risks. This model is extended by using knowled ge recited at MFF UK. We use …
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Periodicity and ruin probabilities for compound non-homogeneous poisson processes
… claim counting process are discussed. The ruin probabilities of compound non-homogenous Poisson processes with periodic intensity function are also discussed, in which the embedded discrete risk model and the average arrival rate risk model are presented and bounds for the ruin probability …
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A unified study of bounds and asymptotic estimates for renewal equations and compound distributions with applications to insurance risk analysis
… claim distributions, stop-loss premium and ruin probabilities with general claim sizes and especially with heavy-tailed distributions. Chapter 1 presents the probability models of compound distributions and renewal equations in insurance risk analysis and gives the summary of the results of …