检索结果-内蒙古大学图书馆

discrete-time risk model With time-Varying Premiums: Analysis of Ruin Probabilities

APPLIED STOCHASTIC modelS IN BUSINESS AND INDUSTRY 2024年第0期

作者： Osatakul, Dhiti Li, Shuanming Wu, Xueyuan Chulalongkorn Univ Dept Stat Chulalongkorn Business Sch Bangkok Thailand Univ Melbourne Dept Econ Melbourne Vic Australia

Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for up to two time periods, representing real-world insurance practices. We examine a premium principle based on reported claims, using recursively computable finite-time ruin probabilities to evaluate the performance of time-varying premiums. Our findings suggest that, under specific assumptions, a higher probability of by-claim settlement delays leads to lower ruin probabilities. Moreover, a stronger correlation between main claims and their associated by-claims results in higher ruin probabilities.

关键词： bonus-malus delayed claim discrete-time risk model finite-time ruin recursive computation

来源：评论

学校读者我要写书评

暂无评论

Multiseasonal discrete-time risk model revisited

引用

LITHUANIAN MATHEMATICAL JOURNAL 2023年第4期63卷 466-486页

作者： Grigutis, Andrius Jankauskas, Jonas Siaulys, Jonas Vilnius Univ Inst Math Naugarduko str 24 LT-03225 Vilnius Lithuania

In this work, we set up the distribution function of M := sup(n >= 1) Sigma(n)(i=1) (X-i - 1), where the random walk Sigma(n)(i=1) X-i, n is an element of N, is generated by N periodically occurring distributions, and the integer-valued and nonnegative random variables X-1, X-2, ... are independent. The considered random walk generates a so-called multiseasonal discrete-time risk model, and a known distribution of random variable M enables us to calculate the ultimate time ruin or survival probability. Verifying obtained theoretical statements, we demonstrate several computational examples for survival probability P(M < u) when N = 2,3, or 10.

关键词： discrete-time risk model random walk survival probability generating function branching process initial values

来源：评论

学校读者我要写书评

暂无评论

Second-Order Tail Behavior for Stochastic Discounted Value of Aggregate Net Losses in a discrete-time risk model

引用

JOURNAL OF THEORETICAL PROBABILITY 2022年第4期35卷 2600-2621页

作者： Yang, Yang Liu, Shuang Yuen, Kam Chuen Nanjing Audit Univ Sch Stat & Data Sci 86 West Yushan Rd Nanjing 211815 Jiangsu Peoples R China Univ Hong Kong Dept Stat & Actuarial Sci Pokfulam Rd Hong Kong Peoples R China

Consider a discrete-time risk model, in which an insurer makes both risk-free and risky investments. Within period k, the net loss is denoted by a real-valued random variable X-k, and the stochastic discount factor is a bounded positive random variable Yk. Assume that (X-k,Y-k), k is an element of N, form a sequence of independent and identically distributed random pairs following a common bivariate Farlie-Gumbel-Morgenstern distribution with marginal distributions F on R and G on [a, b], respectively, for some 0 < a <= b < infinity. Under the condition that F is second-order subexponential, we establish a second-order expansion for the tail probability of the stochastic discounted value of aggregate net losses. Compared with the first-order one, our second-order asymptotic result is more precise, which is demonstrated by numerical studies.

关键词： Second-order expansion discrete-time risk model Tail probability of aggregate net loss Second-order subexponential distribution Farlie-Gumbel-Morgenstern distribution

来源：评论

学校读者我要写书评

暂无评论

A discrete-time risk model with Poisson ARCH claim-number process

引用

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 2020年第16期49卷 3965-3984页

作者： Li, Jiahui Yuen, Kam Chuen Chen, Mi Univ Hong Kong Dept Stat & Actuarial Sci Hong Kong Peoples R China Fujian Normal Univ Coll Math & Informat Fuzhou 350117 Fujian Peoples R China Fujian Normal Univ FJKLMAA Fuzhou 350117 Fujian Peoples R China

In this paper, we propose a discrete-time risk model with the claim number following an integer-valued autoregressive conditional heteroscedasticity (ARCH) process with Poisson deviates. In this model, the current claim number depends on the previous observations. Within this framework, the equation for finding the adjustment coefficient is derived. Numerical studies are also carried out to examine the impact of the Poisson ARCH dependence structure on the ruin probability.

关键词： Adjustment coefficient discrete-time risk model integer-valued time series Poisson ARCH process ruin probability

来源：评论

学校读者我要写书评

暂无评论

On a discrete-time risk model with time-dependent claims and impulsive dividend payments

引用

SCANDINAVIAN ACTUARIAL JOURNAL 2020年第8期2020卷 736-753页

作者： Zhang, Lianzeng Liu, He Nankai Univ Sch Finance Tongyan Rd 38 Tianjin 300350 Peoples R China

A discrete-time risk model with a mathematically tractable dependence structure between interclaim times and claim sizes is considered in the presence of an impulsive dividend strategy. Under such a strategy, once the insurer's reserve upcrosses the level b, the excess of the reserve over is paid off as dividends. We derive difference equations for both the expected discounted penalty function and the expected present value of dividend payments. Solution procedures for these difference equations are provided. When the joint distribution of the interclaim time and claim size is a finite mixture of bivariate geometric distributions, closed-form expressions are given. Numerical results for several sets of parameters are also provided to illustrate the applicability of the results obtained.

关键词： discrete-time risk model dependence structure dividend strategy defective renewal equation bivariate geometric distribution

来源：评论

学校读者我要写书评

暂无评论

The Finite-time Ruin Probability of a discrete-time risk model with Subexponential and Dependent Insurance and Financial risks

引用

Acta Mathematicae Applicatae Sinica 2018年第3期34卷 553-565页

作者： Shi-jie WANG Chuan-wei ZHANG Xue-jun WANG Wen-sheng WANG School of Mathematic Sciences Anhui University Hefei 230601 China School of Economics Hangzhou Dianzi University Hangzhou 310018 China

Consider a discrete-time risk model with insurance and financial risks in a stochastic economic environment. Assume that the insurance and financial risks form a sequence of independent and identically distributed random vectors with a generic random vector following a wide type of dependence structure. An asymptotic formula for the finite-time ruin probability with subexponential insurance risks is derived. In doing so, the subexponentiality of the product of two dependent random variables is investigated simultaneously.

关键词： discrete-time risk model finite-time ruin probability subexponentiality product dependence structure

来源：评论

学校读者我要写书评

暂无评论

On a discrete-time risk model with claim correlated premiums

引用

ANNALS OF ACTUARIAL SCIENCE 2015年第2期9卷 322-342页

作者： Wu, Xueyuan Chen, Mi Guo, Junyi Jin, Can Univ Melbourne Dept Econ Melbourne Vic 3010 Australia Fujian Normal Univ Sch Math & Comp Sci Fuzhou 350007 Peoples R China Nankai Univ Sch Math Sci Tianjin 300071 Peoples R China

This paper proposes a discrete-time risk model that has a certain type of correlation between premiums and claim amounts. It is motivated by the well-known bonus-malus system (also known as the no claims discount) in the car insurance industry. Such a system penalises policyholders at fault in accidents by surcharges, and rewards claim-free years by discounts. For simplicity, only up to three levels of premium are considered in this paper and recursive formulae are derived to calculate the ultimate ruin probabilities. Explicit expressions of ruin probabilities are obtained in a simplified case. The impact of the proposed correlation between premiums and claims on ruin probabilities is examined through numerical examples. In the end, the joint probability of ruin and deficit at ruin is also considered.

关键词： discrete-time risk model No claims discount Bonus-malus Ruin probability Deficit at ruin Recursion

来源：评论

学校读者我要写书评

暂无评论

discrete-time risk models with surplus-dependent premium corrections

引用

APPLIED MATHEMATICS AND COMPUTATION 2023年 437卷

作者： Osatakul, Dhiti Li, Shuanming Wu, Xueyuan Chulalongkorn Univ Chulalongkorn Business Sch Dept Stat Bangkok Thailand Univ Melbourne Fac Business & Econ Dept Econ Melbourne Vic 3010 Australia

This paper studies discrete-time risk models with insurance premiums adjusted according to claims experience. The premium correction mechanism follows the well-known princi-ple in the non-life insurance industry, the so-called bonus-malus system. The bonus-malus framework that we study here extends the current literature by allowing the premium correction rules to vary according to the current surplus level of the insurance company. The main goal of this paper is to evaluate the risk of ruin for the insurer who implements the proposed bonus-malus system. Two premiums correction principles are examined: by aggregate claims or by claim frequency. Further, the Parisian type of ruin is also consid-ered, where the premium adjustment rules are different in positive-and negative-surplus environment.(c) 2022 Elsevier Inc. All rights reserved.

关键词： discrete-time risk model Bonus-malus system Finite-time ruin Recursive computation Surplus-dependent premiums Parisian ruin

来源：评论

学校读者我要写书评

暂无评论

Ruin probability for finite negative binomial mixture claims via recurrence sequences

引用

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 2024年第2期53卷 557-573页

作者： Rincon, Luis Santana, David J. Univ Nacl Autonoma Mexico Fac Ciencias Dept Matemat Mexico City DF Mexico UJAT Div Acad Ciencias Basicas Villahermosa Tabasco Mexico

A new procedure to find the ultimate ruin probability in a discrete-time risk model is presented for claims with a mixture of m negative binomial distributions. The method involves the theory of linear recurrence sequences. It requires to find the zeroes of an m degree polynomial and the solution of a system of m linear equations. Numerical results and plots are provided as examples.

关键词： Ruin probability discrete-time risk model negative binomial distribution recurrence sequences

来源：评论

学校读者我要写书评

暂无评论

Ruin probability for renewal risk models with neutral net profit condition

引用

NONLINEAR ANALYSIS-modelLING AND CONTROL 2023年第6期28卷 1182-1195页

作者： Grigutis, Andrius Karbonskis, Arvydas Siaulys, Jonas Vilnius Univ Inst Math Naugarduko 24 LT-03225 Vilnius Lithuania

In ruin theory, the net profit condition intuitively means that the sizes of the incurred random claims are on average less than the premiums gained between the successive interoccurrence times. The breach of the net profit condition causes guaranteed ruin in few but simple cases when both the claims' interoccurrence time and random claims are degenerate. In this work, we give a simplified argumentation for the unavoidable ruin when the incurred claims are on average equal to the premiums gained between the successive interoccurrence times. We study the discrete-time risk model with N is an element of N periodically occurring independent distributions, the classical risk model, also known as the Cramer-Lundberg risk process, and the more general Sparre Andersen model.

关键词： net profit condition ruin probability discrete-time risk model classical risk model Sparre Andersen risk model random walk

来源：评论

学校读者我要写书评

暂无评论

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案：

请选择收藏分类：

通借通还

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：