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Parisian ruin probability for spectrally negative Lévy processes
L´ evy process ruin probability Parisian ruin risk process
2011/3/23
In this note we give, for a spectrally negative L\'evy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below ze...
Optimization of dividend and reinsurance strategies under ruin probability constraint
Nonlinear regular-singular stochastic optimal control Ruin
2010/10/20
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected p...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/27
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{...
We consider an insurance company in the case when the premium rate is a bounded non-negative random function $c_\zs{t}$ and the capital of the insurance company is invested in a risky asset whose pri...
Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model
delayed renewal risk model heavy-tails ruin probability
2007/12/11
Embrechts and Veraverbeke~[2] investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities ψ(x) under the assumption that the claim size is heavy-tailed, whic...
The Asymptotic Behavior of the Ruin Probability within a Random Horizon
Asymptotics extended regular variation class finite time ruin probability renewal model
2007/12/11
Subject to the assumption that the common distributionof claim sizes belongs to the extended regular variation class,the present work obtains a simple asymptotic formula for the ruinprobability within...