071014 (M13) Recursive methods for computing finite-time ruin probabilities for phase-distributed claim sizes

1995 ◽  
Vol 16 (2) ◽  
pp. 168
Keyword(s):  
Finite Time ◽  
Ruin Probabilities ◽  
Recursive Methods

Uniform estimate on finite time ruin probabilities with random interest rate

2010 ◽  
Vol 30 (3) ◽  
pp. 688-700 ◽  
Author(s):  
Ming Ruixing ◽  
He Xiaoxia ◽  
Hu Yijun ◽  
Liu Juan
Keyword(s):  
Interest Rate ◽  
Finite Time ◽  
Uniform Estimate ◽  
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 Ruin probabilities in a diffusion environment

2011 ◽  
Vol 48 (A) ◽  
pp. 39-50
Author(s):  
Jan Grandell ◽  
Hanspeter Schmidli
Keyword(s):  
Point Process ◽  
Finite Time ◽  
Diffusion Processes ◽  
Ruin Probabilities ◽  
Cox Process ◽  
Change Of Measure ◽  
Martingale Approach ◽  
Insurance Model

We consider an insurance model, where the underlying point process is a Cox process. Using a martingale approach applied to diffusion processes, finite-time Lundberg inequalities are obtained. By change-of-measure techniques, Cramér–Lundberg approximations are derived.

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