## Found 1,512 Documents (Results 1–100)

100
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### Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations. (English)Zbl 07616048

MSC:  62P05 62E10
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### Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims. (English)Zbl 07621945

MSC:  91-XX 60-XX
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### More for less insurance model: an alternative to (re)insurance. (English)Zbl 07618093

MSC:  91G05 62P05
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MSC:  60K25
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### Gambler’s ruin problem in a Markov-modulated jump-diffusion risk model. (English)Zbl 07607466

MSC:  91G05 60J70
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MSC:  62-XX
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### Estimation of ruin probability for binomially distributed number of $$\varphi$$-sub-Gaussian claims. (Ukrainian. English summary)Zbl 07601527

MSC:  62P05 60G50 60G15
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### Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims. (English)Zbl 07596362

MSC:  62P05 60E05
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### Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model. (English)Zbl 07596347

MSC:  60K05 91B30
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### Uniform bounds for ruin probability in multidimensional risk model. (English)Zbl 07595490

MSC:  60G15 60G70
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### Volterra integral equations: an approach based on Lipschitz-continuity. (English)Zbl 07589666

MSC:  91Bxx 45Dxx 65Rxx
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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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MSC:  62-XX
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### Ruin probability for finite Erlang mixture claims via recurrence sequences. (English)Zbl 1493.60034

MSC:  60E05 62P05
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### Bankruptcy probability of a lever company: lookback option pricing method. (Chinese. English summary)Zbl 07554550

MSC:  91G20 60G22
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### Statistical inference for partially observed Markov-modulated diffusion risk model. (English)Zbl 1493.62578

MSC:  62P05 91B05
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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 1492.91305

MSC:  91G05 93E20
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### An application of risk theory to mortgage lending. (English)Zbl 1492.91268

MSC:  91G05 45K05
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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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### Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model. (English)Zbl 1495.60016

MSC:  60G15 60G70
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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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### Minimizing ruin probability under the sparre Anderson model. (English)Zbl 07533625

MSC:  49L25 93E20 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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### On capital allocation for a risk measure derived from ruin theory. (English)Zbl 1490.91169

MSC:  91G05 91G70
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### Banach contraction principle, $$q$$-scale function and ultimate ruin probability under a Markov-modulated classical risk model. (English)Zbl 1492.91300

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 1496.91039

MSC:  91B05 60J70
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### Extrema of multi-dimensional Gaussian processes over random intervals. (English)Zbl 1492.60088

MSC:  60G15 60G70
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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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MSC:  62-XX
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### Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence. (English)Zbl 1496.60109

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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MSC:  62-XX
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MSC:  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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MSC:  91B05
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### Finite-time ruin probability for correlated Brownian motions. (English)Zbl 1487.60075

MSC:  60G15 60J65
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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 1492.91318

MSC:  91G05 60K10
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### Exponential bounds of ruin probabilities for non-homogeneous risk models. (English)Zbl 1485.91212

MSC:  91G05 60G44
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### Asymptotic statistics in insurance risk theory. (English)Zbl 07471659

SpringerBriefs in Statistics. JSS Research Series in Statistics. Singapore: Springer (ISBN 978-981-16-9283-3/pbk; 978-981-16-9284-0/ebook). x, 110 p. (2021).
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### Explicit transient probabilities of various Markov models. (English)Zbl 1496.60089

Swift, Randall J. (ed.) et al., Stochastic processes and functional analysis. New perspectives. AMS special session celebrating M. M. Rao’s many mathematical contributions as he turns 90 years old. University of California, Riverside, California, November 9–10, 2019. Providence, RI: American Mathematical Society (AMS). Contemp. Math. 774, 97-151 (2021).
MSC:  60J10 60J22
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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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### Minimization of absolute ruin probability in a class of diffusion model. (Chinese. English summary)Zbl 1488.91089

MSC:  91G05 60J60
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### The finite element method: a high-performing approach for computing the probability of ruin and solving other ruin-related problems. (English)Zbl 1478.91187

MSC:  91G60 65N30 91B05
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### Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. (English)Zbl 1479.91315

MSC:  91G05 91G30
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MSC:  91G05
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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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### Random walk, Brownian motion, and martingales. (English)Zbl 1489.60001

Graduate Texts in Mathematics 292. Cham: Springer (ISBN 978-3-030-78937-4/hbk; 978-3-030-78939-8/ebook). xv, 396 p. (2021).
MSC:  60-01 60Gxx
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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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MSC:  91G05
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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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### Ruin probability for a Gaussian process with variance attaining its maximum on discrete sets. (English. Russian original)Zbl 1465.60030

J. Math. Sci., New York 254, No. 4, 504-509 (2021); translation from Fundam. Prikl. Mat. 22, No. 3, 83-90 (2018).
MSC:  60G15 60G10 60G70
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MSC:  62-XX
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MSC:  62-XX
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MSC:  62-XX
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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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### Optimal investment-reinsurance policy with regime switching and value-at-risk constraint. (English)Zbl 1476.91135

MSC:  91G05 93E20 91G60
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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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### Ruin probability in models with stochastic premiums. (English. Russian original)Zbl 1468.91127

Mosc. Univ. Math. Bull. 75, No. 4, 177-180 (2020); translation from Vestn. Mosk. Univ., Ser. I 75, No. 4, 57-61 (2020).
MSC:  91G05
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### Lundberg-type inequalities for non-homogeneous risk models. (English)Zbl 1465.91034

MSC:  91B05 60K10
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### Ruin probabilities for risk processes in a bipartite network. (English)Zbl 1468.60058

MSC:  60G51 05C80 91B05
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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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### Research on ruin probability of risk model based on AR (1) time series. (English)Zbl 1474.91032

MSC:  91B05 62M10
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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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MSC:  91G05
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MSC:  91B05
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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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### Stochastic optimization models of actuarial mathematics. (English. Russian original)Zbl 1455.91219

Cybern. Syst. Anal. 56, No. 1, 58-67 (2020); translation from Kibern. Sist. Anal. 2020, No. 1, 70-81 (2020).
MSC:  91G05 93E20 90C15
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