FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES
نویسندگان
چکیده
منابع مشابه
Periodicity and Ruin Probabilities for Compound Non - Homogeneous Poisson Processes
Periodicity and Ruin Probabilities for Compound Non-Homogenous Poisson Processes Compound non-homogenous Poisson processes with periodic claim intensity rates are stiidied in this work. A risk process related to a short term periodic environment and the periodicity for its compound claim counting process are discussed. The ruin probabilities of compo~md non-homogenous Poisson processes with per...
متن کاملA Hyperexponential Approximation to Finite- and Infinite-time Ruin Probabilities of Compound Poisson Processes
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 کاملA Hyperexponential Approximation to Finite-Time and Infinite-Time Ruin Probabilities of Compound Poisson Processes
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 finite-time) ruin probability as a solvable ordinary differential equation (or a partial differential equ...
متن کاملA polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
A numerical method to approximate ruin probabilities is proposed within the frame of a compound Poisson ruin model. The defective density function associated to the ruin probability is projected in an orthogonal polynomial system. These polynomials are orthogonal with respect to a probability measure that belongs to Natural Exponential Family with Quadratic Variance Function (NEF-QVF). The meth...
متن کاملRuin Probability in Compound Poisson Process with Investment
We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two ruin probabilities which are caused by the claim and the oscillation, respectively. We derive the integro-differential equations for these rui...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2013
ISSN: 0515-0361,1783-1350
DOI: 10.1017/asb.2013.4