Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests

2013 ◽  
Vol 31 ◽  
pp. 625-634 ◽  
Author(s):  
Wenguang Yu
Keyword(s):  
Risk Model ◽  
Insurance Risk ◽  
Absolute Ruin ◽  
Insurance Risk Model

scholarly journals The Absolute Ruin Insurance Risk Model with a Threshold Dividend Strategy

Symmetry ◽  
2018 ◽  
Vol 10 (9) ◽  
pp. 377 ◽  
Author(s):  
Wenguang Yu ◽  
Yujuan Huang ◽  
Chaoran Cui
Keyword(s):  
Risk Model ◽  
Insurance Companies ◽  
Insurance Company ◽  
Insurance Risk ◽  
Threshold Dividend Strategy ◽  
Dividend Payments ◽  
Absolute Ruin ◽  
The Absolute ◽  
Debit Interest ◽  
Insurance Risk Model

The absolute ruin insurance risk model is modified by including some valuable market economic information factors, such as credit interest, debit interest and dividend payments. Such information is especially important for insurance companies to control risks. We further assume that the insurance company is able to finance and continue to operate when its reserve is negative. We investigate the integro-differential equations for some interest actuarial diagnostics. We also provide numerical examples to explain the effects of relevant parameters on actuarial diagnostics.

scholarly journals Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 982
Author(s):  
Yujuan Huang ◽  
Jing Li ◽  
Hengyu Liu ◽  
Wenguang Yu
Keyword(s):  
Fourier Series ◽  
Ruin Probability ◽  
Risk Model ◽  
Expansion Method ◽  
Nonparametric Estimator ◽  
Insurance Risk ◽  
Numerical Examples ◽  
Complex Fourier Series ◽  
Premium Income ◽  
Insurance Risk Model

This paper considers the estimation of ruin probability in an insurance risk model with stochastic premium income. We first show that the ruin probability can be approximated by the complex Fourier series (CFS) expansion method. Then, we construct a nonparametric estimator of the ruin probability and analyze its convergence. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.

scholarly journals Asymptotic Behavior of Ruin Probabilities in an Insurance Risk Model with Quasi-Asymptotically Independent or Bivariate Regularly Varying-Tailed Main Claim and By-Claim

Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-6
Author(s):  
Yang Yang ◽  
Xinzhi Wang ◽  
Xiaonan Su ◽  
Aili Zhang
Keyword(s):  
Asymptotic Behavior ◽  
Risk Model ◽  
Dependence Structure ◽  
Ruin Probabilities ◽  
Insurance Risk ◽  
Main Claim ◽  
Regularly Varying ◽  
Heavy Tailed ◽  
Insurance Risk Model

This paper considers a by-claim risk model under the asymptotical independence or asymptotical dependence structure between each main claim and its by-claim. In the presence of heavy-tailed main claims and by-claims, we derive some asymptotic behavior for ruin probabilities.

Ruin estimation for a general insurance risk model

1994 ◽  
Vol 26 (02) ◽  
pp. 404-422 ◽  
Author(s):  
Paul Embrechts ◽  
Hanspeter Schmidli
Keyword(s):  
Markov Processes ◽  
Risk Model ◽  
Insurance Risk ◽  
Risk Models ◽  
General Insurance ◽  
Piecewise Deterministic Markov Processes ◽  
Insurance Risk Model

The theory of piecewise-deterministic Markov processes is used in order to investigate insurance risk models where borrowing, investment and inflation are present.

scholarly journals Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Wenguang Yu
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Insurance Risk ◽  
Ruin Time ◽  
Expected Discounted Penalty Function ◽  
Recursion Formulas ◽  
Compound Binomial ◽  
Discounted Penalty Function ◽  
Premium Income ◽  
Insurance Risk Model

The compound binomial insurance risk model is extended to the case where the premium income process, based on a binomial process, is no longer a constant premium rate of 1 per period and insurer pays a dividend of 1 with a probabilityq0when the surplus is greater than or equal to a nonnegative integerb. The recursion formulas for expected discounted penalty function are derived. As applications, we present the recursion formulas for the ruin probability, the probability function of the surplus prior to the ruin time, and the severity of ruin. Finally, numerical example is also given to illustrate the effect of the related parameters on the ruin probability.

scholarly journals A note on a Lévy insurance risk model under periodic dividend decisions

2018 ◽  
Vol 14 (1) ◽  
pp. 35-63 ◽  
Author(s):  
Zhimin Zhang ◽  
◽  
Eric C. K. Cheung ◽  
Keyword(s):  
Risk Model ◽  
Insurance Risk ◽  
Insurance Risk Model
Sign in / Sign up

Export Citation Format

Share Document