In this paper, under the assumption that the claimsize is subexponentially distributed and the insurance capital is totally invested in risky asset, some simple asymptotics of finite horizon ruin probabilities are obtained for non-homogeneous Poisson process and conditional Poisson risk models as well as renewal risk model, when the initial capital is quite large. Extremal event is described in...

We discuss the uniformly asymptotic estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model, where the interarrival times of successive accidents and all the claim sizes caused by an accident are two sequences of random variables following a wide dependence structure. This wide dependence structure allows random variables to be either negatively d...

Cyber risks are an important point on the business agenda in every company, but they are difficult to assess due to the absence of reliable data and profound analyses. To improve this situation, we identify cyber losses from an operational risk database and analyze these with methods from the field of actuarial science. Specifically, we apply operational risk models in order to yield consistent...

Few studies that have focused on developing credit risk models specifically for small and medium-sized enterprises (SMEs) have included non-financial information as a predictor of company creditworthiness. In this study we have available non-financial, regulatory compliance and “event” data to supplement the limited accounting data that is often available for non-listed firms. We employ a sampl...

This paper investigates the finite time ruin probability in non-homogeneous Poisson risk model, conditional Poisson risk models and renewal risk model with stochastic returns. Under the assumption that the claimsize is subexponentially distributed, a simple asymptotic relation is established when the initial capital tends to infinity. The results obtained extend the corresponding results of con...

This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002. Our econometric univariate and multivariate models explain a significant portion of the variance in bond recovery rates aggregated across all seniority and ...

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the renewal model with risky investment in the case that the claimsize is subexponentially distributed and the initial capital is large. The result is consistent with known results for the ultimate and finitetime ruin probability and, particularly, is inconsistent with the corresponding Poisson risk ...