Ruin probabilities for risk processes in a bipartite network
نویسندگان
چکیده
منابع مشابه
Finite time ruin probabilities for tempered stable insurance risk processes
We study the probability of ruin before time t for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the Laplace transform of the asymptotic ruin time distribution, for which we have an explicit expression. These are benchmarked against simulations...
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We describe a fast simulation framework for simulating small ruin probabilities in insurance risk processes with subexponential claims. Naive simulation is inefficient since the event of interest is rare, and special simulation techniques like importance sampling need to be used. An importance sampling change of measure known as sub-exponential twisting has been found useful for some rare event...
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Let C1, C2, . . . , Cm be independent subordinators with finite expectations and denote their sum by C. Consider the classical risk process X(t) = x+ct−C(t). The ruin probability is given by the well known Pollaczek-Hinchin formula. If ruin occurs, however, it will be caused by a jump of one of the subordinators whose sum constitutes C. Formulae for the probability that ruin is caused by Ci are...
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ژورنال
عنوان ژورنال: Stochastic Models
سال: 2020
ISSN: 1532-6349,1532-4214
DOI: 10.1080/15326349.2020.1760109