Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims

2022 ◽  
Author(s):  
Dawei Lu ◽  
Meng Yuan
Keyword(s):  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities

On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims

2014 ◽  
Vol 51 (03) ◽  
pp. 874-879 ◽  
Author(s):  
C. Y. Robert
Keyword(s):  
Open Problem ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Ruin Theory ◽  
Finite Time Ruin Probability

In ruin theory, the conjecture given in De Vylder and Goovaerts (2000) is an open problem about the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability evaluated in the associated model with equalized claim amounts. In this paper we consider a weaker version of the conjecture and show that the integrals of the ruin probabilities with respect to the initial risk reserve are uniformly comparable.

scholarly journals On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

2013 ◽  
Vol 50 (02) ◽  
pp. 309-322 ◽  
Author(s):  
Zechun Hu ◽  
Bin Jiang
Keyword(s):  
Interest Rate ◽  
Differential Equations ◽  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Two Dimensional ◽  
Asymptotic Expressions ◽  
Integral Differential Equations ◽  
Constant Interest Rate ◽  
Constant Interest

In this note we consider the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008) with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite-time ruin probabilities with respect to the joint ruin times T max(u 1,u 2) and T min(u 1,u 2) respectively.

scholarly journals On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

2013 ◽  
Vol 50 (2) ◽  
pp. 309-322 ◽  
Author(s):  
Zechun Hu ◽  
Bin Jiang
Keyword(s):  
Interest Rate ◽  
Differential Equations ◽  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Two Dimensional ◽  
Asymptotic Expressions ◽  
Integral Differential Equations ◽  
Constant Interest Rate ◽  
Constant Interest

In this note we consider the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008) with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite-time ruin probabilities with respect to the joint ruin times Tmax(u1,u2) and Tmin(u1,u2) respectively.

ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS

2005 ◽  
Vol 20 (1) ◽  
pp. 103-113 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Stochastic Processes ◽  
Discrete Time ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Insurance Risk ◽  
Finite Time Ruin Probability ◽  
Discount Factors ◽  
Subexponential Class

Consider a discrete-time insurance risk model with risky investments. Under the assumption that the loss distribution belongs to a certain subclass of the subexponential class, Tang and Tsitsiashvili (Stochastic Processes and Their Applications 108(2): 299–325 (2003)) established a precise estimate for the finite time ruin probability. This article extends the result both to the whole subexponential class and to a nonstandard case with associated discount factors.

scholarly journals On finite-time ruin probabilities in a generalized dual risk model with dependence

2015 ◽  
Vol 242 (1) ◽  
pp. 134-148 ◽  
Author(s):  
Dimitrina S. Dimitrova ◽  
Vladimir K. Kaishev ◽  
Shouqi Zhao
Keyword(s):  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Dual Risk Model
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