Bounds for the Ruin Probability of a Discrete-Time Risk Process
نویسندگان
چکیده
منابع مشابه
Inequalities for the ruin probability in a controlled discrete-time risk process
Ruin probabilities in a controlled discrete-time risk process with a Markov chain interest are studied. To reduce the risk there is a possibility to reinsure a part or the whole reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for the ruin probabilities are derived given a constant stationary policy. The relationships between these in...
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In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time d > 0. We identify expressions for the ruin probabilities within finite and infinite-time horizon. We also find their light and heavy-tailed asymptotics when initial reserves approach infinity. Finally, we calculate these p...
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The computation of ruin probability is an important problem in the collective risk theory. It has applications in the fields of insurance, actuarial science, and economics. Many mathematical models have been introduced to simulate business activities and ruin probability is studied based on these models. Two of these models are the classical risk model and the Cox model. In the classical model,...
متن کاملUpper Bounds for Ruin Probability under Time Series Models
In this article, we consider an insurance risk model where the claim and premium processes follow some time series models+ We first consider the model proposed in Gerber @2,3#; then a model with dependent structure between premium and claim processes modeled by using Granger’s causal model is considered+ By using some martingale arguments, Lundberg-type upper bounds for the ruin probabilities u...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2009
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1238592119