Ruin probability in the presence of risky investments
نویسندگان
چکیده
منابع مشابه
Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments
Motivated by the EU Solvency II Directive, we study the one-year ruin probability of an insurer who makes investments and hence faces both insurance and financial risks. Over a time horizon of one year, the insurance risk is quantified as a nonnegative random variable X equal to the aggregate amount of claims, and the financial risk as a d-dimensional random vector Y consisting of stochastic di...
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In this paper, under the assumption that the claimsize is subexponentially distributed and the insurance capital is totally invested in risky asset, some simple asymptotics of finite horizon ruin probabilities are obtained for non-homogeneous Poisson process and conditional Poisson risk models as well as renewal risk model, when the initial capital is quite large. Extremal event is described in...
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در این پایان نامه نشان داده ایم که چگونه می توان مدل ریسک بیمه ای اسپیرر اندرسون را به کمک زنجیره های مارکوف تعریف کرد. سپس به کمک روش های آنالیز ماتریسی احتمال برشکستگی ، میزان مازاد در هنگام برشکستگی و میزان کسری بودجه در زمان وقوع برشکستگی را محاسبه کرده ایم. هدف ما در این پایان نامه بسیار محاسباتی و کاربردی تر از روش های است که در گذشته برای محاسبه این احتمال ارائه شده است. در ابتدا ما نشا...
15 صفحه اولBounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments
In this work we consider a model of an insurance company where the insurer has to face a claims process which follows a Compound Poisson process with finite exponential moments. The insurer is allowed to invest in a bank account and in a risky asset described by Geometric Brownian motion with stochastic volatility that depends on an external factor modelled as a diffusion process. By using expo...
متن کاملFinite- 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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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2006
ISSN: 0304-4149
DOI: 10.1016/j.spa.2005.09.006