scholarly journals Exponential bounds of ruin probabilities for non-homogeneous risk models

2020 ◽  
Vol 41 (2) ◽  
Author(s):  
Qianqian Zhou ◽  
Alexander Sakhanenko ◽  
Junyi Guo
Keyword(s):  
Ruin Probabilities ◽  
Risk Models ◽  
Exponential Bounds

scholarly journals On a Class of Semi-Markov Risk Models Obtained as Classical Risk Models in a Markovian Environment

1984 ◽  
Vol 14 (1) ◽  
pp. 23-43 ◽  
Author(s):  
Jean-Marie Reinhard
Keyword(s):  
Risk Model ◽  
Risk Process ◽  
Ruin Probabilities ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Risk Models ◽  
Markovian Environment ◽  
Necessary And Sufficient ◽  
Natural Way ◽  
Quantities Of Interest

AbstractWe consider a risk model in which the claim inter-arrivals and amounts depend on a markovian environment process. Semi-Markov risk models are so introduced in a quite natural way. We derive some quantities of interest for the risk process and obtain a necessary and sufficient condition for the fairness of the risk (positive asymptotic non-ruin probabilities). These probabilities are explicitly calculated in a particular case (two possible states for the environment, exponential claim amounts distributions).

Tail equivalence relationships for ruin probabilities in several risk models

2005 ◽  
Vol 21 (6) ◽  
pp. 499-508 ◽  
Author(s):  
Feng Hu ◽  
Chuancun Yin ◽  
Zhaojun Zong
Keyword(s):  
Ruin Probabilities ◽  
Risk Models

scholarly journals Ruin Probabilities in the Mixed Claim Frequency Risk Models

2014 ◽  
Vol 2014 ◽  
pp. 1-7
Author(s):  
Zhao Xiaoqin ◽  
Chuangxia Huang
Keyword(s):  
Probability Theory ◽  
Ruin Probabilities ◽  
Risk Models ◽  
Martingale Approach ◽  
Claim Frequency

We consider two mixed claim frequency risk models. Some important probabilistic properties are obtained by probability-theory methods. Some important results about ruin probabilities are obtained by martingale approach.

Ruin Probabilities in Cox Risk Models with Two Dependent Classes of Business

2006 ◽  
Vol 23 (7) ◽  
pp. 1281-1288 ◽  
Author(s):  
Jun Yi Guo ◽  
Kam C. Yuen ◽  
Ming Zhou
Keyword(s):  
Ruin Probabilities ◽  
Risk Models
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