Finite and infinite time ruin probabilities in a stochastic economic environment
نویسندگان
چکیده
منابع مشابه
Finite- and Infinite-time Ruin Probabilities in the Presence of Stochastic Returns on Investments
This paper investigates the finiteand infinite-time ruin probabilities in a discrete-time stochastic economic environment. Under the assumption that the insurance risk – the total net loss within one time period – is extended-regularly-varying tailed or rapidly-varying tailed, various precise estimates for the ruin probabilities are derived. In particular, some estimates obtained are uniform wi...
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This article considers the problem of evaluating infinite-time (or finite-time) ruin probability under a given compound Poisson surplus process. By approximating the claim size distribution by a finite mixture exponential, say Hyperexponential, distribution. It restates the infinite-time (or finitetime) ruin probability as a solvable ordinary differential equation (or a partial differential equ...
متن کاملFinite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2001
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(00)00083-1