The W, Z scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
In the last years there appeared a great variety of identities for first passage problems of
spectrally negative Lévy processes, which can all be expressed in terms of two “q-harmonic …
spectrally negative Lévy processes, which can all be expressed in terms of two “q-harmonic …
Threshold net profit condition in predicting the insurer's probability of ruin
GM Ogungbenle - South Asian Journal of Finance, 2024 - sajf.sljol.info
Purpose: An insurer is technically ruined when its surplus falls below a specified level that is
less than a defined benchmark. In ruin analysis, the classical Lundberg's model describes …
less than a defined benchmark. In ruin analysis, the classical Lundberg's model describes …
[PDF][PDF] Some statistical and game-theoretic models with an actuarial perspective
C Dutang - 2021 - theses.hal.science
This habilitation thesis to supervise research deals with statistical and game-theoretic
models and their use for actuarial science. It is composed of five chapters. Chapter 1 focuses …
models and their use for actuarial science. It is composed of five chapters. Chapter 1 focuses …
[PDF][PDF] Evaluating Ruin Probabilities: A Streamlined Approach
P De Angelis, R De Marchis, M Marino… - … Mathematics E-Notes, 2021 - math.nthu.edu.tw
This paper deals with the ruin probability evaluation in a classical risk theory model, under
different hypotheses about claims distribution. Our approach is totally innovative, and is …
different hypotheses about claims distribution. Our approach is totally innovative, and is …
Approximate results for non-linear Cramér-Lundberg type risk model
Y Allyyev - 2021 - 193.140.108.196
In this study, a non-linear Cramér-Lundberg risk model is considered, investigated and ruin
probabilities,?(u), are calculated. In literature, a linear form of this model, also known as …
probabilities,?(u), are calculated. In literature, a linear form of this model, also known as …
Tiempos de pasada condicional para el Proceso de Riesgo de Crámer Lundberg
JAC Treviño - 2022 - repositorio.ugto.mx
El proceso de Crámer Lundberg, propuesto por primera vez en (Lundberg, 1903), es un
modelo clásico en Teoría de Riesgo. Particularmente, en el contexto de compañías …
modelo clásico en Teoría de Riesgo. Particularmente, en el contexto de compañías …
Tiempos de pasada condicional para el Proceso de Riesgo de Crámer Lundberg
RV Martínez, KV Haro, CAS León… - JÓVENES EN LA …, 2022 - jovenesenlaciencia.ugto.mx
El proceso de Crámer Lundberg, propuesto por primera vez en (Lundberg, 1903), es un
modelo clásico en Teoría de Riesgo. Particularmente, en el contexto de compañías …
modelo clásico en Teoría de Riesgo. Particularmente, en el contexto de compañías …