scholarly journals Sensitivity analysis and density estimation for finite-time ruin probabilities

2009 ◽  
Vol 230 (1) ◽  
pp. 107-120 ◽  
Author(s):  
Stéphane Loisel ◽  
Nicolas Privault
Keyword(s):  
Sensitivity Analysis ◽  
Density Estimation ◽  
Finite Time ◽  
Ruin Probabilities

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.

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