Calculation of Ruin Probabilities when the Claim Distribution is Lognormal
نویسندگان
چکیده
منابع مشابه
On The Moments Of The Time To Ruin Distribution When The Initial Reserve Is Large And Claim Amount Distribution Is Two Stage Hypo Exponential Distribution
In any classical risk model one of the important random variable is time to ruin. As time to ruin warns the management for possible adverse situations that may arise, the distribution of time to ruin place a vital role in the day to day transactions of the any insurance company. Moments of the distribution are also important as coefficient of skewness of the distribution is very important in ac...
متن کاملRuin probabilities for competing claim processes ∗
Let C1, C2, . . . , Cm be independent subordinators with finite expectations and denote their sum by C. Consider the classical risk process X(t) = x+ct−C(t). The ruin probability is given by the well known Pollaczek-Hinchin formula. If ruin occurs, however, it will be caused by a jump of one of the subordinators whose sum constitutes C. Formulae for the probability that ruin is caused by Ci are...
متن کاملon the moments of the time to ruin distribution when the initial reserve is large and claim amount distribution is two stage hypo exponential distribution
in any classical risk model one of the important random variable is time to ruin. as time to ruin warns the management for possible adverse situations that may arise, the distribution of time to ruin place a vital role in the day to day transactions of the any insurance company. moments of the distribution are also important as coefficient of skewness of the distribution is very important in ac...
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This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account possible dependence between the successive claim amounts. The problem under study for these risk models is the evaluation of the probabilities ...
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We consider a classical risk model with the possibility of reinsurance. Moreover, in one of the models also investment into a risky asset is possible. The insurer follows the optimal strategy. In this paper we find the Cramér-Lundberg approximation in the small claim case and prove that the optimal strategy converges to the asymptotically optimal strategy as the capital increases to infinity. 1...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1977
ISSN: 0515-0361,1783-1350
DOI: 10.1017/s0515036100011545