## Found 1,074 Documents (Results 1–100)

100
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### Approximations of the ultimate ruin probability in the classical risk model using the Banach’s fixed-point theorem and the continuity of the ruin probability. (English)Zbl 07584156

MSC:  62P05 91B05
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### Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims. (English)Zbl 07576345

MSC:  91Bxx 60Kxx 62Pxx
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### Ruin probability for finite Erlang mixture claims via recurrence sequences. (English)Zbl 07565048

MSC:  60E05 62P05
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MSC:  62P05
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### Ruin and dividend measures in the renewal dual risk model. (English)Zbl 1489.91214

MSC:  91G05 60K10
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### On the randomized Schmitter problem. (English)Zbl 1489.91213

MSC:  91G05 91G80
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### A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin. (English)Zbl 07540873

MSC:  91G05 93E20
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### The finite-time ruin probability of a risk model with a general counting process and stochastic return. (English)Zbl 07538978

MSC:  62P05 62E10 60F05
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### Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations. (English)Zbl 07533658

MSC:  62P05 62E20 62-XX
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### Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory. (English)Zbl 1489.60129

MSC:  60J25 60H25 60G51
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### Banach contraction principle, $$q$$-scale function and ultimate ruin probability under a Markov-modulated classical risk model. (English)Zbl 07518395

MSC:  91G05 60K37 60J70
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### Applications of a change of measures technique for compound mixed renewal processes to the ruin problem. (English)Zbl 1489.60140

MSC:  60K10 60G44 91G05
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### Pandemic-type failures in multivariate Brownian risk models. (English)Zbl 07502777

MSC:  91B05 60J70
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### Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors. (English)Zbl 07427459

MSC:  62P05 62E20 91B30
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### Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence. (English)Zbl 07554011

MSC:  60K10 91B05
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### Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations. (English)Zbl 1490.62314

MSC:  62P05 62E10 91B05
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### Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims. (English)Zbl 07532943

MSC:  91B30 62E20 60G50 62-XX
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### A mathematical model of insurer bankruptcy on a finite time interval. (English. Russian original)Zbl 1491.91103

Comput. Math. Model. 32, No. 3, 259-275 (2021); translation from Prikl. Mat. Inf. 67, 4-18 (2021).
MSC:  91G05
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### Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes. (English)Zbl 1483.91196

MSC:  91G05 60K10
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### Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims. (English)Zbl 07473956

MSC:  91G05 60K10
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### A $$2\times 2$$ random switching model and its dual risk model. (English)Zbl 1483.90043

MSC:  90B22 60K30 60K10
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### Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims. (English)Zbl 1473.62351

MSC:  62P05 62E10 91B05
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### Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk. (English)Zbl 1474.62035

MSC:  62E20 62P05
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### Schur-constant and related dependence models, with application to ruin probabilities. (English)Zbl 1476.60026

MSC:  60E05 62H05 91B05
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### Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process. (English)Zbl 1476.91134

MSC:  91G05 60G51 60K10
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### Minimization of ruin probability under excess-claim reinsurance and investment. (Chinese. English summary)Zbl 1488.62178

MSC:  62P05 91G05 91G10
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### A transient Cramér-Lundberg model with applications to credit risk. (English)Zbl 1477.60073

MSC:  60G51 62P05
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### On a stochastic model for a cooperative banking scheme for microcredit. (English)Zbl 1470.91304

Theory Probab. Appl. 66, No. 2, 326-335 (2021) and Teor. Veroyatn. Primen. 66, No. 2, 402-414 (2021).
MSC:  91G40 60G55
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### Robust portfolio selection for individuals: minimizing the probability of lifetime ruin. (English)Zbl 1474.91178

MSC:  91G10 91B42
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### Inequalities in a two-sided boundary crossing problem for stochastic processes. (English. Russian original)Zbl 1470.60124

Sib. Math. J. 62, No. 3, 455-461 (2021); translation from Sib. Mat. Zh. 62, No. 3, 567-575 (2021).
MSC:  60G50 60E15
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### On the probability of ruin of a joint-stock insurance company in the sparre Andersen risk model. (English. Russian original)Zbl 1461.91256

J. Math. Sci., New York 254, No. 4, 574-581 (2021); translation from Fundam. Prikl. Mat. 22, No. 3, 179-189 (2018).
MSC:  91G05 62P05
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### Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima. (English)Zbl 07528702

MSC:  62E20 91B30 60G50 62-XX
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### Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory. (English)Zbl 1484.62026

MSC:  62E20 60G70 62P05
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### Ruin probabilities for two collaborating insurance companies. (English)Zbl 1473.60077

MSC:  60G51 60G70 91G20
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### The ruin probability of the risk model with claim numbers in Poisson negative binomial distribution. (Chinese. English summary)Zbl 1474.62369

MSC:  62P05 91G05 60G44
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### Lundberg-type inequalities for non-homogeneous risk models. (English)Zbl 1465.91034

MSC:  91B05 60K10
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### Ruin problems for the discrete time insurance risk model with discount rate and multiple types of insurance. (Chinese. English summary)Zbl 1474.62376

MSC:  62P05 91G05
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### Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment. (English)Zbl 1455.91217

MSC:  91G05 60G55 60J28
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### On the analysis of ruin-related quantities in the nonhomogeneous compound Poisson risk model. (Chinese. English summary)Zbl 1463.62319

MSC:  62P05 91B05 60K05

### Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions. (English)Zbl 1460.60035

MSC:  60G50 91G40
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### On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. (English)Zbl 1454.91196

MSC:  91G05 60J70
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### Approximation of ruin probability and ruin time in discrete Brownian risk models. (English)Zbl 1454.91193

MSC:  91G05 60J70
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MSC:  91G05
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### Finite-time ruin probability of a bidimensional dependent risk model based on entrance process. (Chinese. English summary)Zbl 1463.91119

MSC:  91G05 62P05
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### Approximation of the tail probabilities of loss process in a time dependent compound renewal risk model. (Chinese. English summary)Zbl 1463.60111

MSC:  60K10 62P05 91G40
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### On the ruin problem with investment when the risky asset is a semimartingale. (English. Russian original)Zbl 1459.60100

Theory Probab. Appl. 65, No. 2, 249-269 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 312-337 (2020).
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### Itô calculus for Cramér-Lundberg model. (English)Zbl 1448.91251

MSC:  91G05 60K10 60H30
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### On series expansions for scale functions and other ruin-related quantities. (English)Zbl 1447.91142

MSC:  91G05 60G51
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### Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation. (English)Zbl 1447.91130

MSC:  91G05 45J05 60J60
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### Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin. (English)Zbl 1445.91054

MSC:  91G05 93E20
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### Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance. (English)Zbl 1447.91141

MSC:  91G05 45D05 62P05
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### A particular bidimensional time-dependent renewal risk model with constant interest rates. (English)Zbl 1434.60254

MSC:  60K10 60G44 91G05
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### On some inequalities in boundary crossing problems for random walks. (Russian. English summary)Zbl 1439.60044

MSC:  60G50 60E15
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### Stochastic models in actuarial risk theory. A mathematical introduction. 2nd edition. (Stochastische Modelle der aktuariellen Risikotheorie. Eine mathematische Einführung.) (German)Zbl 1433.91002

Masterclass. Berlin: Springer Spektrum (ISBN 978-3-662-60923-1/pbk; 978-3-662-60924-8/ebook). x, 288 p. (2020).
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MSC:  91G05
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### Minimizing the probability of lifetime exponential Parisian ruin. (English)Zbl 1433.91159

MSC:  91G10 93E20 49K10
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### The product distribution of dependent random variables with applications to a discrete-time risk model. (English)Zbl 07539715

MSC:  62E10 60E05
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### Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model. (English)Zbl 07530884

MSC:  62G32 62F99 62E20
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MSC:  91G05

### De Vylder type approximation of the ruin probability for the insurer-reinsurer model. (English)Zbl 1463.91107

MSC:  91G05 62P05
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### A perturbed risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. (English)Zbl 1449.62243

MSC:  62P05 91B05
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### Bayesian estimation for the Markov-modulated diffusion risk model. (English)Zbl 1436.62486

Antoniano-Villalobos, Isadora (ed.) et al., Selected contributions on statistics and data science in Latin America. 33rd “Foro nacional de estadística” (FNE) and 13th “Congreso Latinoamericano de Sociedades de Estadística” (CLATSE), Guadalajara, Mexico, October 1–5, 2018. Cham: Springer. Springer Proc. Math. Stat. 301, 15-31 (2019).
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### Integro-local theorems in boundary crossing problems for compound renewal processes. (English. Russian original)Zbl 1450.60049

Sib. Math. J. 60, No. 6, 957-972 (2019); translation from Sib. Mat. Zh. 60, No. 6, 1229-1246 (2019).
MSC:  60K15 60F10 68M20
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### Sensitivity of the stability bound for ruin probabilities to claim distributions. (English)Zbl 1437.91459

MSC:  91G70 91G05 62G32
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### Quantifying distributional model risk via optimal transport. (English)Zbl 1434.60113

MSC:  60G07 60F99 62P05
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### The joint distribution of ruin related quantities in the classical risk model. (Chinese. English summary)Zbl 1449.91037

MSC:  91B05 60E05

### Asymptotics of the finite-time ruin probability of a risk model with Brownian perturbation. (English)Zbl 1449.91036

MSC:  91B05 62P05 62G32
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### Optimal reinsurance via Dirac-Feynman approach. (English)Zbl 1429.91284

MSC:  91G05 62P05 58D30
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### Non-central Pólya-Aeppli process and ruin probability. (English)Zbl 1438.60064

MSC:  60G51 62P05
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### Risk models of order $$k$$. (English)Zbl 1438.60114

MSC:  60K10 62P05
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### Ruin probability for hypo-exponential claim in classical risk process with reinsurance. (English)Zbl 1428.91014

MSC:  91G05 62P05
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### The risk model with stochastic premiums and a multi-layer dividend strategy. (English)Zbl 1427.91240

MSC:  91G05 60K10
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### The time of ultimate recovery in Gaussian risk model. (English)Zbl 1488.60083

MSC:  60G15 60G70 60K25
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### On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims. (English)Zbl 1427.62125

MSC:  62P05 91B05 60K10
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### Ruin probabilities by Padé’s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails. (English)Zbl 1422.91323

MSC:  91B30 60G51 62P05
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