The impact on ruin probabilities of the association structure among financial risks

Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks

This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial risks are denoted by another sequence of independent and identically distributed positive random variables with a finite upper endpoint, but a gen...

Developing an Integrated Simulation Model of Bayesian-networks to Estimate the Completion Cost of a Project under Risk: Case Study on Phase 13 of South Pars Gas Field Development Projects

Objective: The aim of this paper is to propose a new approach to assess the aggregated impact of risks on the completion cost of a construction project. Such an aggregated impact includes the main impacts of risks as well as the impacts of interactions caused by dependencies among them. Methods: In this study, Monte Carlo simulation and Bayesian Networks methods are combined to present a frame...

Explicit ruin formulas for models with dependence among risks

We show that a simple mixing idea allows to establish a number of explicit formulas for ruin probabilities and related quantities in collective risk models with dependence among claim sizes and among claim inter-occurrence times. Examples include compound Poisson risk models with completely monotone marginal claim size distributions that are dependent according to Archimedean survival copulas a...

Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends

We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities. We focus on the development of a recursive computational procedure to calculate the finite-time ruin probabilities and expected total discounted dividends paid prior t...

Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks