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On the Probability and Severity of Ruin

Citations

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Cited by:

  1. Tsai, Cary Chi-Liang & Sun, Li-juan, 2004. "On the discounted distribution functions for the Erlang(2) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 5-19, August.
  2. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
  3. Tsai, Cary Chi-Liang, 2001. "On the discounted distribution functions of the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 401-419, June.
  4. Sarkar, Joykrishna & Sen, Arusharka, 2005. "Weak convergence approach to compound Poisson risk processes perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 421-432, June.
  5. Lin, X.Sheldon & Pavlova, Kristina P., 2006. "The compound Poisson risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 57-80, February.
  6. Dickson, David C.M., 2016. "A note on some joint distribution functions involving the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 120-124.
  7. Schmidli, Hanspeter, 2015. "Extended Gerber–Shiu functions in a risk model with interest," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 271-275.
  8. repec:hal:wpaper:hal-00870224 is not listed on IDEAS
  9. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
  10. Afonso, Lourdes B. & Cardoso, Rui M.R. & Egídio dos Reis, Alfredo D., 2013. "Dividend problems in the dual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 906-918.
  11. Emilio Gómez-Déniz & José María Sarabia & Enrique Calderín-Ojeda, 2019. "Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem," Risks, MDPI, vol. 7(2), pages 1-16, June.
  12. Vaios Dermitzakis & Susan M. Pitts & Konstadinos Politis, 2010. "Lundberg-type Bounds and Asymptotics for the Moments of the Time to Ruin," Methodology and Computing in Applied Probability, Springer, vol. 12(1), pages 155-175, March.
  13. Maite Teresa Marmol Jimenez & M. Mercedes Claramunt Bielsa & Antonio Alegre Escolano, 2003. "Reparto de dividendos en una cartera de seguros no vida. Obtencion de la barrera constante optima bajo criterios economico-actuariales," Working Papers in Economics 99, Universitat de Barcelona. Espai de Recerca en Economia.
  14. Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2020. "Optimal prevention of large risks with two types of claims," Post-Print hal-02314914, HAL.
  15. Chadjiconstantinidis, Stathis & Politis, Konstadinos, 2007. "Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 41-52, July.
  16. Wei, Li & Wu, Rong, 2002. "The joint distributions of several important actuarial diagnostics in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 451-462, June.
  17. Hailiang Yang & Lihong Zhang, 2006. "Ruin problems for a discrete time risk model with random interest rate," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(2), pages 287-299, May.
  18. Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2019. "Optimal prevention of large risks with two types of claims," Working Papers hal-02314914, HAL.
  19. Cheung, Eric C.K. & Landriault, David, 2010. "A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 127-134, February.
  20. Usabel, M. A., 1999. "A note on the Taylor series expansions for multivariate characteristics of classical risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 37-47, September.
  21. Wang, Nan & Politis, Konstadinos, 2002. "Some characteristics of a surplus process in the presence of an upper barrier," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 231-241, April.
  22. Usabel, Miguel, 1999. "Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 133-142, November.
  23. Stanford, David A. & Stroinski, Krzysztof J. & Lee, Karen, 2000. "Ruin probabilities based at claim instants for some non-Poisson claim processes," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 251-267, May.
  24. Lin, X. Sheldon & Willmot, Gordon E., 1999. "Analysis of a defective renewal equation arising in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 63-84, September.
  25. Schmidli, Hanspeter, 2010. "On the Gerber-Shiu function and change of measure," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 3-11, February.
  26. Woo, Jae-Kyung, 2011. "Refinements of two-sided bounds for renewal equations," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 189-196, March.
  27. Georgios Psarrakos, 2015. "On the Integrated Tail of the Deficit in the Renewal Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 497-513, June.
  28. Cai, Jun & Dickson, David C. M., 2002. "On the expected discounted penalty function at ruin of a surplus process with interest," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 389-404, June.
  29. Hailiang Yang, 2000. "An Integrated Risk Management Method: VaR Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 201-219, September.
  30. Ramsden, Lewis & Papaioannou, Apostolos D., 2019. "Ruin probabilities under capital constraints," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 273-282.
  31. Michael V. Boutsikas & Konstadinos Politis, 2017. "Exit Times, Overshoot and Undershoot for a Surplus Process in the Presence of an Upper Barrier," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 75-95, March.
  32. Cheng, Yebin & Tang, Qihe & Yang, Hailiang, 2002. "Approximations for moments of deficit at ruin with exponential and subexponential claims," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 367-378, October.
  33. Usabel, M. A., 1999. "Practical approximations for multivariate characteristics of risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 397-413, December.
  34. Lee Dinetan, 2014. "Stochastic processes governed by Markovian processes [Processus stochastiques à incréments Markoviens]," Working Papers hal-01103025, HAL.
  35. Zhang, Chunsheng & Wang, Guojing, 2003. "The joint density function of three characteristics on jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 445-455, July.
  36. Drekic, Steve & Stafford, James E. & Willmot, Gordon E., 2004. "Symbolic calculation of the moments of the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 109-120, February.
  37. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
  38. Ramsden, Lewis & Papaioannou, Apostolos D., 2019. "On the time to ruin for a dependent delayed capital injection risk model," Applied Mathematics and Computation, Elsevier, vol. 352(C), pages 119-135.
  39. Palash Ranjan Das & Tripti Chakrabarti, 2016. "On some aspects of Maximum Severity of Ruin," Metamorphosis: A Journal of Management Research, , vol. 15(2), pages 109-114, December.
  40. Lee, David & Li, Wai Keung & Wong, Tony Siu Tung, 2012. "Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 538-550.
  41. Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
  42. Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB School of Economics Working Papers 2014/310, University of Barcelona School of Economics.
  43. Avram, Florin & Usabel, Miguel, 2003. "Finite time ruin probabilities with one Laplace inversion," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 371-377, July.
  44. Wu, Rong & Wang, Guojing & Wei, Li, 2003. "Joint distributions of some actuarial random vectors containing the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 147-161, August.
  45. Egidio dos Reis, Alfredo D., 2000. "On the moments of ruin and recovery times," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 331-343, December.
  46. Psarrakos, Georgios, 2008. "Tail bounds for the distribution of the deficit in the renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 197-202, October.
  47. Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve, 2003. "The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 551-566, December.
  48. Willmot, Gordon E. & Sheldon Lin, X., 1998. "Exact and approximate properties of the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 91-110, October.
  49. Frey, Andreas & Schmidt, Volker, 1996. "Taylor-series expansion for multivariate characteristics of classical risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 1-12, May.
  50. Psarrakos, Georgios & Politis, Konstadinos, 2008. "Tail bounds for the joint distribution of the surplus prior to and at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 163-176, February.
  51. Yang, Hailiang, 2003. "Ruin theory in a financial corporation model with credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 135-145, August.
  52. Egidio dos Reis, Alfredo D., 2002. "How many claims does it take to get ruined and recovered?," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 235-248, October.
  53. Liu, Guoxin & Zhao, Jinyan, 2007. "Joint distributions of some actuarial random vectors in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 95-103, January.
  54. Politis, Konstadinos, 2005. "Bounds for the probability and severity of ruin in the Sparre Andersen model," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 165-177, April.
  55. Psarrakos, Georgios, 2009. "Asymptotic results for heavy-tailed distributions using defective renewal equations," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 774-779, March.
  56. Yang, Hailiang & Zhang, Lihong, 2001. "On the distribution of surplus immediately before ruin under interest force," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 329-338, December.
  57. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
  58. Yang, Hailiang & Zhang, Lihong, 2001. "On the distribution of surplus immediately after ruin under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 247-255, October.
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