Application of regenerative processes approach for the approximation of the ruin probability in a bivariate classical risk model with large claims

S Hocine, D Aïssani, A Bareche… - … of Mathematics in …, 2023‏ - inderscienceonline.com
In order to reflect more accurately the insurance company's activity, risk models that have
been recently studied in the literature are becoming increasingly complex. Moreover, the …

[PDF][PDF] Méthodes d'estimation et d'approximation pour l'analyse des modèles de risque

Z HARFOUCHE‏ - researchgate.net
Le risque est inhérent à la plupart des activités humaines, en particulier dans les
compagnies d'assurance. Il semble délicat de mesurer ces différents risques. L'assurance …

Comparison of nonparametric and semi-parametric estimates for approximating univariate classical risk models

A Bareche, Z Harfouche‏ - conference.univ-batna2.dz
In this work, we propose a combined approach, leveraging an approximation method
(operator method [1]) and estimation techniques (nonparametric and semi-parametric [3, 4]) …

Transformation kernel density estimation for approximating ruin probabilities in risk models using the operator method: Application to financial data

A Bareche, Z Harfouche - Participant Statistics‏ - ntmsci.com
We propose in this work a transformation kernel density estimation technique (semi-
parametric approach) for the improvement of the quality of the stability bound on the …

Nonparametric approach for approximating the ruin probability of Sparre Andersen risk models

A Touazi, D Aissani - Book of Abstracts‏ - linstat.ipt.pt
Ruin probability is one of the main features of a risk model which is the probability that the
insurer capital falls bellow the level zero. However, it cannot be found explicitly for many risk …