Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
نویسندگان
چکیده
منابع مشابه
Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
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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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...
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We study the ruin problem over a risk process described by a discrete-time Markov model. In contrast to previous studies that focused on the asymptotic behaviour of ruin probabilities for large values of the initial capital, we provide a new technique to compute the quantity of interest for any initial value, and with any given precision. Rather than focusing on a particular model for risk proc...
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ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2009
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-009-9123-9