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1.
This paper deals with the discrete-time risk model with nonidentically distributed claims. The recursive formula of finite-time
ruin probability is obtained, which enables one to evaluate the probability of ruin with desired accuracy. Rational valued
claims and nonconstant premium payments are considered. Some numerical examples of finite-time ruin probability calculation
are presented. 相似文献
2.
David C.M. Dickson 《Insurance: Mathematics and Economics》2012,50(3):334-337
We use probabilistic arguments to derive an expression for the joint density of the time to ruin and the number of claims until ruin in the classical risk model. From this we obtain a general expression for the probability function of the number of claims until ruin. We also consider the moments of the number of claims until ruin and illustrate our results in the case of exponentially distributed individual claims. Finally, we briefly discuss joint distributions involving the surplus prior to ruin and deficit at ruin. 相似文献
3.
研究了当保费率随理赔强度的变化而变化时C ox风险模型的折现罚金函数,利用后向差分法得到了折现罚金函数所满足的积分方程,进而得到了破产概率,破产前瞬时盈余、破产时赤字的各阶矩所满足的积分方程.最后给出当理赔额服从指数分布,理赔强度为两状态的马氏过程时破产概率的拉普拉斯变换,对一些具体数值计算出了破产概率的表达式. 相似文献
4.
We follow some recent works to study the ruin probabilities of a bidimensional perturbed insurance risk model. For the case of light-tailed claims, using the martingale technique we obtain for the infinite-time ruin probability a Lundberg-type upper bound, which captures certain information of dependence between the two marginal surplus processes. For the case of heavy-tailed claims, we derive for the finite-time ruin probability an explicit asymptotic estimate. 相似文献
5.
In this article, we consider the perturbed classical surplus model. We study the probability that ruin occurs at each instant of claims, the probability that ruin occurs between two consecutive claims occurrences, as well as the distribution of the ruin time that lies in between two consecutive claims. We give some finite expressions depending on derivatives for Laplace transforms, which can allow computation of the probabilities concerning with claim occurrences. Further, we present some insight on the shapes of probability functions involved. 相似文献
6.
In this paper we investigate the ruin probability in a general risk model driven by a compound Poisson process. We derive a formula for the ruin probability from which the Albrecher–Hipp tax identity follows as a corollary. Then we study, as an important special case, the classical risk model with a constant force of interest and loss-carried-forward tax payments. For this case we derive an exact formula for the ruin probability when the claims are exponential and an explicit asymptotic formula when the claims are subexponential. 相似文献
7.
论将索赔到达点过程由Poisson点过程推广为由马氏链的跳跃点形成的点过程,保费收取由净收入随机确定,我们得到破产概率ψ(u)及条件破产概率φi(u)满足的积分方程. 相似文献
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9.
研究一类离散时间风险模型的破产概率.在保费收入和利率同时为离散时间Markov链,索赔额为独立情形下,利用更新迭代方法得到最终时间破产概率的Lundberg型上界. 相似文献
10.
In this paper, for a kind of risk models with heavy-tailed and delayed claims, we derive the asymptotics of the infinite-time ruin probability and the uniform asymptotics of the finite-time ruin probability. The numerical simulation results are also presented. The results of theoretical analysis and numerical simulation
show that the influence of the delay for the claim payment is nearly negligible to the ruin probability when the initial capital and running-time are all large. 相似文献
11.
12.
Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
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In this paper, we study the absolute ruin probability in the compound Poisson model with credit and debit interests and liquid reserves. At first, we derive a system of integro‐differential equations with certain boundary conditions for the Gerber–Shiu function. Then, applying these results, we obtain asymptotical formula of the absolute ruin probability for subexponentially claims. Furthermore, when the claims are exponentially distributed, we obtain the explicit expressions for the Gerber–Shiu function and the exact solution for the absolute ruin probability. Finally, we discuss the absolute ruin probability by using the Gerber–Shiu function when debit interest is varying. In the case of exponential individual claim, we give the explicit expressions for the Gerber–Shiu function. Copyright © 2012 John Wiley & Sons, Ltd. 相似文献
13.
The compound binomial risk model with time-correlated claims 总被引:1,自引:0,他引:1
Yuntao Xiao 《Insurance: Mathematics and Economics》2007,41(1):124-133
In this paper, we consider the compound binomial risk model with the time-correlated claims. It is assumed that every main claim will produce a by-claim but the occurrence of the by-claim may be delayed. We obtain the recursive formula of the joint distribution of the surplus immediately prior to ruin and deficit at ruin. Furthermore, the ruin probability is given by means of ruin probability and the deficit at ruin of the classical compound binomial risk model. Finally, we derive an upper bound for the ruin probability. 相似文献
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研究了如何确定离散时间情况下再保险模型破产概率上界的问题.为了降低自身的破产风险,保险公司常常对部分乃至全部资产进行再保险.假定索赔间隔时间和索赔额具有一阶自回归结构,假定利率过程为取值于可数状态空间的Markov链.建立了其比例再保险模型,分别用递归更新技巧和鞅方法得到模型的破产概率上界.该破产概率上界作为评估再保险公司偿付能力和风险控制能力的重要指标,对于它的研究成果能为再保险人做出重大决策提供重要的依据,具有较为重要的理论和现实意义. 相似文献
16.
??A new risk model is constructed, where the total number of claims
satisfies the geometric first-order integer-valued autoregressive process. Moreover, we
obtain the equation of the adjustment coefficient. We discuss the relationships among the
dependence on the number of claims in each period, the adjustment coefficient, and ruin
probability by numerical simulations. The results show that, with the increase of the
dependence on the number of claims in each period, the adjustment coefficient decrease and
ruin probability increase gradually. 相似文献
17.
论文针对现实生活中存在非同质性意外大额赔付的情况,在更新风险模型的基础上,进一步建立广义更新风险模型,给出了在有意外大额赔付情况下保险公司破产概率的尾等价式,此结果表明了突如其来的大额索赔可能会导致保险公司破产. 相似文献
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19.
In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter λ, using martingale methods to obtain the upper bound of the ultimate ruin probability. 相似文献