Добірка наукової літератури з теми "The Craér-Lundberg risk model"
Оформте джерело за APA, MLA, Chicago, Harvard та іншими стилями
Ознайомтеся зі списками актуальних статей, книг, дисертацій, тез та інших наукових джерел на тему "The Craér-Lundberg risk model".
Біля кожної праці в переліку літератури доступна кнопка «Додати до бібліографії». Скористайтеся нею – і ми автоматично оформимо бібліографічне посилання на обрану працю в потрібному вам стилі цитування: APA, MLA, «Гарвард», «Чикаго», «Ванкувер» тощо.
Також ви можете завантажити повний текст наукової публікації у форматі «.pdf» та прочитати онлайн анотацію до роботи, якщо відповідні параметри наявні в метаданих.
Статті в журналах з теми "The Craér-Lundberg risk model"
1
Albrecher, Hansjörg, Sem C. Borst, Onno J. Boxma, and Jacques Resing. "Ruin excursions, the G/G/∞ queue, and tax payments in renewal risk models." Journal of Applied Probability 48, A (August 2011): 3–14. http://dx.doi.org/10.1017/s0021900200099083.
Повний текст джерелаАнотація:
In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramér–Lundberg model with and without tax payments. We also provide a relation of the Cramér–Lundberg risk model with the G/G/∞ queue and use it to derive some explicit ruin probability formulae. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramér– Lundberg risk model.
2
Albrecher, Hansjörg, Sem C. Borst, Onno J. Boxma, and Jacques Resing. "Ruin excursions, the G/G/∞ queue, and tax payments in renewal risk models." Journal of Applied Probability 48, A (August 2011): 3–14. http://dx.doi.org/10.1239/jap/1318940451.
Повний текст джерелаАнотація:
In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramér–Lundberg model with and without tax payments. We also provide a relation of the Cramér–Lundberg risk model with the G/G/∞ queue and use it to derive some explicit ruin probability formulae. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramér– Lundberg risk model.
3
Yuen, Kam C., Junyi Guo, and Kai W. Ng. "On Ultimate Ruin in a Delayed-Claims Risk Model." Journal of Applied Probability 42, no. 01 (March 2005): 163–74. http://dx.doi.org/10.1017/s0021900200000139.
Повний текст джерелаАнотація:
In this paper, we consider a risk model in which each main claim induces a delayed claim called a by-claim. The time of delay for the occurrence of a by-claim is assumed to be exponentially distributed. From martingale theory, an expression for the ultimate ruin probability can be derived using the Lundberg exponent of the associated nondelayed risk model. It can be shown that the Lundberg exponent of the proposed risk model is the same as that of the nondelayed one. Brownian motion approximations for ruin probabilities are also discussed.
4
Yuen, Kam C., Junyi Guo, and Kai W. Ng. "On Ultimate Ruin in a Delayed-Claims Risk Model." Journal of Applied Probability 42, no. 1 (March 2005): 163–74. http://dx.doi.org/10.1239/jap/1110381378.
Повний текст джерелаАнотація:
In this paper, we consider a risk model in which each main claim induces a delayed claim called a by-claim. The time of delay for the occurrence of a by-claim is assumed to be exponentially distributed. From martingale theory, an expression for the ultimate ruin probability can be derived using the Lundberg exponent of the associated nondelayed risk model. It can be shown that the Lundberg exponent of the proposed risk model is the same as that of the nondelayed one. Brownian motion approximations for ruin probabilities are also discussed.
5
Schmidli, Hanspeter. "Lundberg inequalities for a Cox model with a piecewise constant intensity." Journal of Applied Probability 33, no. 1 (March 1996): 196–210. http://dx.doi.org/10.2307/3215277.
Повний текст джерелаАнотація:
A Cox risk process with a piecewise constant intensity is considered where the sequence (Li) of successive levels of the intensity forms a Markov chain. The duration σi of the level Li is assumed to be only dependent via Li. In the small-claim case a Lundberg inequality is obtained via a martingale approach. It is shown furthermore by a Lundberg bound from below that the resulting adjustment coefficient gives the best possible exponential bound for the ruin probability. In the case where the stationary distribution of Li contains a discrete component, a Cramér–Lundberg approximation can be obtained. By way of example we consider the independent jump intensity model (Björk and Grandell 1988) and the risk model in a Markovian environment (Asmussen 1989).
6
Schmidli, Hanspeter. "Lundberg inequalities for a Cox model with a piecewise constant intensity." Journal of Applied Probability 33, no. 01 (March 1996): 196–210. http://dx.doi.org/10.1017/s0021900200103857.
Повний текст джерелаАнотація:
A Cox risk process with a piecewise constant intensity is considered where the sequence (Li ) of successive levels of the intensity forms a Markov chain. The duration σi of the level Li is assumed to be only dependent via Li . In the small-claim case a Lundberg inequality is obtained via a martingale approach. It is shown furthermore by a Lundberg bound from below that the resulting adjustment coefficient gives the best possible exponential bound for the ruin probability. In the case where the stationary distribution of Li contains a discrete component, a Cramér–Lundberg approximation can be obtained. By way of example we consider the independent jump intensity model (Björk and Grandell 1988) and the risk model in a Markovian environment (Asmussen 1989).
7
Minkova, Leda D. "The Pólya-Aeppli process and ruin problems." Journal of Applied Mathematics and Stochastic Analysis 2004, no. 3 (January 1, 2004): 221–34. http://dx.doi.org/10.1155/s1048953304309032.
Повний текст джерелаАнотація:
The Pólya-Aeppli process as a generalization of the homogeneous Poisson process is defined. We consider the risk model in which the counting process is the Pólya-Aeppli process. It is called a Pólya-Aeppli risk model. The problem of finding the ruin probability and the Cramér-Lundberg approximation is studied. The Cramér condition and the Lundberg exponent are defined. Finally, the comparison between the Pélya-Aeppli risk model and the corresponding classical risk model is given.
8
Rodríguez-Martínez, Eugenio V., Rui M. R. Cardoso, and Alfredo D. Egídio dos Reis. "SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL." ASTIN Bulletin 45, no. 1 (August 27, 2014): 127–50. http://dx.doi.org/10.1017/asb.2014.19.
Повний текст джерелаАнотація:
AbstractThe dual risk model assumes that the surplus of a company decreases at a constant rate over time and grows by means of upward jumps, which occur at random times and sizes. It is said to have applications to companies with economical activities involved in research and development. This model is dual to the well-known Cramér-Lundberg risk model with applications to insurance. Most existing results on the study of the dual model assume that the random waiting times between consecutive gains follow an exponential distribution, as in the classical Cramér-Lundberg risk model. We generalize to other compound renewal risk models where such waiting times are Erlang(n) distributed. Using the roots of the fundamental and the generalized Lundberg's equations, we get expressions for the ruin probability and the Laplace transform of the time of ruin for an arbitrary single gain distribution. Furthermore, we compute expected discounted dividends, as well as higher moments, when the individual common gains follow a Phase-Type, PH(m), distribution. We also perform illustrations working some examples for some particular gain distributions and obtain numerical results.
9
Cossette, Hélène, Etienne Marceau, and Véronique Maume-Deschamps. "Discrete-Time Risk Models Based on Time Series for Count Random Variables." ASTIN Bulletin 40, no. 1 (May 2010): 123–50. http://dx.doi.org/10.2143/ast.40.1.2049221.
Повний текст джерелаАнотація:
AbstractIn this paper, we consider various specifications of the general discrete-time risk model in which a serial dependence structure is introduced between the claim numbers for each period. We consider risk models based on compound distributions assuming several examples of discrete variate time series as specific temporal dependence structures: Poisson MA(1) process, Poisson AR(1) process, Markov Bernoulli process and Markov regime-switching process. In these models, we derive expressions for a function that allow us to find the Lundberg coefficient. Specific cases for which an explicit expression can be found for the Lundberg coefficient are also presented. Numerical examples are provided to illustrate different topics discussed in the paper.
10
Li, Yan, and Guoxin Liu. "Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model." Discrete Dynamics in Nature and Society 2012 (2012): 1–26. http://dx.doi.org/10.1155/2012/802518.
Повний текст джерелаАнотація:
We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined. Via the Hamilton-Jacobi-Bellman approach we find a candidate for the optimal value function and prove the verification theorem. In addition, we obtain the Lundberg bounds and the Cramér-Lundberg approximation for the ruin probability and show that as the capital tends to infinity, the optimal strategies converge to the asymptotically optimal constant strategies. The asymptotic value can be found by maximizing the adjustment coefficient.
Дисертації з теми "The Craér-Lundberg risk model"
1
Федчишина, Ірина Юріївна. "Уточнення апроксимації де Вілдера для оцінки ймовірності банкрутства у страховій моделі Крамера-Лундберга". Master's thesis, Київ, 2018. https://ela.kpi.ua/handle/123456789/23449.
Повний текст джерелаАнотація:
В магістерській дисертації запропонований новий підхід до наближеного знаходження ймовірності банкрутства страхової компанії на нескінченному часовому горизонті. Необхідність такого наближеного знаходження зумовлюється тим, що точне значення ймовірності банкрутства, будучи розв’язком складного інтегрального рівняння, часто не може бути виражене в явній аналітичній формі.
Ідея розробленого методу полягає в заміні процесу страхового ризику на інший процес ризику зі страховими виплатами, розподіленими за законом, що є сумішшю двох експоненціальних розподілів. Для такого процесу ризику ймовірність банкрутства відома в аналітичній формі. Заміна реалізується шляхом прирівнювання перших п’яти кумулянтів початкового та нового процесів ризику.In the master's thesis a new approach to the approximate finding of the ruin probability of an insurance company on an infinite time horizon is proposed. The need for such an approximate finding is due to the fact that the exact value of the ruin probability, being a solution to a complex integral equation, can often not be expressed in explicit analytical form. The idea of the developed method is to replace the process of risk with another risk process with insurance payments distributed according to the law, which is a mixture of two exponential distributions. For such a risk process, the ruin probability is known in analytical form. Replacement is realized by equating the first five cumulants of the initial and new risk processes.
В магистерской диссертации предложен новый поход к приближенному нахождению вероятности банкротства страховой компании на бесконечном временном горизонте. Необходимость такого приближенного нахождения обусловлено тем, что точное значение вероятности банкротства, будучи решением сложного интегрального уравнения, часто не может быть выражено в явной аналитической форме. Идея разработанного метода заключается в замене процесса страхового риска на другой процесс риска со страховыми выплатами, распределенными по закону, который является смесью двух экспоненциальных распределений. Для такого процесса риска вероятность банкротства известна в аналитической форме. Замена реализуется путем приравнивания первых пяти кумулянтов начального и нового процессов риска.
2
Yamazato, Makoto. "Non-life Insurance Mathematics." Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/96535.
Повний текст джерелаАнотація:
In this work we describe the basic facts of non-life insurance and then explain risk processes. In particular, we will explain in detail the asymptotic behavior of the probability that an insurance product may end up in ruin during its lifetime. As expected, the behavior of such asymptotic probability will be highly dependent on the tail distribution of each claim.En este artículo describimos los conceptos básicos relacionados a seguros que no sean de vida y luego explicamos procesos de riesgo. En particular, tratamos al detalle el comportamiento asintótico de la probabilidad de que un producto sea declarado en ruina. Como es suponible, el comportamiento en el horizonte depende de la cola de la distribución de las primas.
3
Ribeiro, Susana Manuela Nunes. "Modelação estocástica nas ciências atuariais." Master's thesis, 2013. http://hdl.handle.net/1822/24725.
Повний текст джерелаАнотація:
Dissertação de mestrado em EstatísticaA modelacão estocástica nas ciências atuariais permite criar modelos para os Ramos Vida e Não-Vida da atividade de uma seguradora, através dos quais se podem analisar diversos parâmetros, e desta forma auxiliar na tomada de decisões e evitar desvios financeiros. Neste trabalho pretende-se analisar o ramo não-vida das ciências atuariais, mais concretamente a área designada por teoria da ruína, que consiste no estudo não só dos prémios, como também das indemnizações de seguradoras, de forma a controlar desvios financeiros e evitar a ruína. Assim, recorreu-se ao modelo clássico, conhecido por modelo de Crámer-Lundberg, e efetuaram-se duas abordagens distintas considerando o tempo discreto e o tempo contínuo. Além da obtenção de alguns resultados úteis nesta análise, realizaram-se simulações teóricas e também a análise de uma base de dados real de uma seguradora ainda em funcionamento. Concluiu-se que apesar das limitações impostas aos modelos, no tempo discreto e no tempo contínuo, se obtiveram resultados indicativos e que permitem comparar estimativas de probabilidades de ruína, mediante um determinado capital inicial, ou taxa constante a que são pagos os prémios à seguradora, ou mesmo da distribuição assumida para as indemnizações.
The stochastic modeling in actuarial sciences allows to create models for the branch of Life and Non-Life in insurance companies, from which one can analyze several parameters, and to help on taking decisions and to avoid financial deviations. In this work, one intends to analyze the non-life insurance branch in actuarial sciences, more precisely the area denominated by ruin theory, which consists not only in the study of the premiums, but also on the study of insurance claims, in such a way of helping to control financial deviations and to avoid the ruin. Therefore, one considers the classic model for the insurance capital, known as the Crámer-Lundberg model, and two different approaches were done, one considering discrete time and the other considering continuous time. Moreover, besides obtaining several useful results from this analysis, one realized theoretical simulations and also the analysis of real data from an insurance company still working on the market. One concluded that, besides the imposed limitations to the models, in discrete and continuous time, one obtained indicative results that allow one to compare estimates for the ruin probability, depending on a certain initial capital, or the constant rate at which the premiums are payed to the insurance company, or on the distributions of the claims.
4
Bergel, Agnieszka Izabella. "On the sparre - Andersen risk model with different type of interclaim times distributions." Doctoral thesis, 2013. http://hdl.handle.net/10400.5/13446.
Повний текст джерелаАнотація:
Doutoramento em Matemática Aplicada à Economia e GestãoThe inevitability of taxes and regulations, that cause agents to go underground, forces the authorities to tolerate some underground economic activity and grants the underground economy natural features. The natural level of the underground economy is defined as the level of underground economic activity in the decentralized equilibrium, provided that the actual structural characteristics of the economy and social preferences are accounted for by imbedding them in the Walrasian system of general equilibrium equations. Its existence is proven using two variants of neoclassical general equilibrium models. The underground economy is found to influence the successfulness of fiscal consolidation programmes, depending on the position of the economy relative to critical fiscal thresholds associated with the natural level of the underground economy. Tax increases yield higher tax proceeds up to the threshold, and lower tax proceeds, passed the threshold, due to a stronger expansion of the natural level of the underground economy. Tax proceeds reach their maximum at the threshold. Tax based programmes are found ineffective in high tax developed economies, operating passed the threshold. In contrast, its successfulness in the developing world, where most economies operate below the threshold with low taxes, is not influenced by the underground economy.
Perante a inevitabilidade de impostos e regulamentação, que estão na origem da economia subterrânea, as autoridades vêem-se forçadas a tolerar actividades económicas subterrâneas. Isto confere um carácter natural à economia subterrânea. A existência de uma taxa natural de economia subterrânea é provado utilizando dois modelos neoclássicos de equilíbrio gereal. A taxa natural de economia subterrânea define-se como o nível de actividade económica subterrânea no equilíbrio descentralizado, dadas as propriedades estruturais da economia e das preferências sociais, que se incluem no sistema Walrasiano de equações de equilíbrio geral. Prova-se que a economia subterrânea influencia o resultado de programas de consolidação orçamental. Isto depende da localização da economia face a valores fiscais críticos associados à taxa natural de economia subterrânea. A seguir a um aumento de impostos, as receitas começam por crescer, atingindo o máximo no ponto crítico, para a seguir cair, devido a uma expansão da taxa natural de economia subterrânea. Programas assentes no aumento de impostos não são bem sucedidos em países desenvolvidos com cargas fiscais elevadas, que operam além do ponto crítico. Já os países em desenvolvimento, cuja maioria opera abaixo do ponto crítico com cargas fiscais baixas, a economia subterrânea não parece influenciar a eficácia dos programas. Palavras chave: Economia subterrânea, evasão de impostos, politica orçamental, consolidação orçamental, defice, divida, modelos de equilíbrio geral aplicados, modelos de crescimento economico de dois sectores, simulação.
N/A
Частини книг з теми "The Craér-Lundberg risk model"
1
Schmidli, Hanspeter. "The Cramér–Lundberg Model." In Risk Theory, 83–130. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-72005-0_5.
Повний текст джерела
2
"Cramér-Lundberg Model." In Stochastic Risk Analysis and Management, 29–76. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119388883.ch2.
Повний текст джерелаТези доповідей конференцій з теми "The Craér-Lundberg risk model"
1
Shengju Yang and Wenling Li. "Lundberg exponent in a cox risk model with multiple risk." In 2011 2nd International Conference on Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC). IEEE, 2011. http://dx.doi.org/10.1109/aimsec.2011.6010544.
Повний текст джерела