Maximization of the Survival Probability by Franchise and Deductible Amounts in the Classical Risk Model

2013 ◽  
pp. 287-300
Author(s):  
Olena Ragulina
Keyword(s):  
Survival Probability ◽  
Risk Model ◽  
Classical Risk Model ◽  
The Classical Risk Model

scholarly journals A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 85 ◽  
Author(s):  
Mohamed Lkabous ◽  
Jean-François Renaud
Keyword(s):  
Risk Model ◽  
Risk Measures ◽  
Risk Measure ◽  
Short Paper ◽  
Classical Risk Model ◽  
Parisian Ruin ◽  
The Classical Risk Model

In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and which is based on cumulative Parisian ruin. We derive some properties of this risk measure and we compare it to the risk measures of Trufin et al. and Loisel and Trufin.

An adaptive premium policy with a Bayesian motivation in the classical risk model

2012 ◽  
Vol 51 (2) ◽  
pp. 370-378 ◽  
Author(s):  
David Landriault ◽  
Christiane Lemieux ◽  
Gordon E. Willmot
Keyword(s):  
Risk Model ◽  
Classical Risk Model ◽  
The Classical Risk Model

scholarly journals ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS

2014 ◽  
Vol 44 (3) ◽  
pp. 635-651 ◽  
Author(s):  
Chuancun Yin ◽  
Yuzhen Wen ◽  
Yongxia Zhao
Keyword(s):  
Lévy Process ◽  
Risk Model ◽  
Levy Process ◽  
Dual Model ◽  
Threshold Strategy ◽  
Classical Risk Model ◽  
Surplus Process ◽  
Optimal Dividend ◽  
Special Cases ◽  
The Classical Risk Model

AbstractIn this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Lévy process before dividends are deducted. This model includes the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to an admissible strategy whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that the optimal dividend strategy is formed by a threshold strategy.

scholarly journals Recursive Calculation of Survival Probabilities

1991 ◽  
Vol 21 (2) ◽  
pp. 199-221 ◽  
Author(s):  
David C. M. Dickson ◽  
Howard R. Waters
Keyword(s):  
Finite Time ◽  
Approximate Calculation ◽  
Risk Model ◽  
Classical Risk Model ◽  
Infinite Time ◽  
Numerical Examples ◽  
Survival Probabilities ◽  
Recursive Calculation ◽  
The Stability ◽  
The Classical Risk Model

AbstractIn this paper we present an algorithm for the approximate calculation of finite time survival probabilities for the classical risk model. We also show how this algorithm can be applied to the calculation of infinite time survival probabilities. Numerical examples are given and the stability of the algorithms is discussed.

scholarly journals Nonparametric Estimation of the Ruin Probability in the Classical Compound Poisson Risk Model

2020 ◽  
Vol 13 (12) ◽  
pp. 298
Author(s):  
Yuan Gao ◽  
Lingju Chen ◽  
Jiancheng Jiang ◽  
Honglong You
Keyword(s):  
Nonparametric Estimation ◽  
Ruin Probability ◽  
Risk Model ◽  
Estimation Method ◽  
Asymptotic Distributions ◽  
Classical Risk Model ◽  
Compound Poisson Risk Model ◽  
The Fourier Transform ◽  
The Classical Risk Model ◽  
Asymptotic Variances

In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on the density of the sizes of claims. We propose a nonparametric estimation approach which does not involve smoothing and thus is free of the bandwidth choice. Compared with the Fourier-transformation-based estimators, our estimators have simpler forms and thus are easier to calculate. We establish asymptotic distributions of our estimators, which allows us to consistently estimate the asymptotic variances of our estimators with the plug-in principle and enables interval estimates of the ruin probability.

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