The Experts below are selected from a list of 1115028 Experts worldwide ranked by ideXlab platform
Kristian P. Sendova - One of the best experts on this subject based on the ideXlab platform.
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On the Parisian ruin of the dual Lévy Risk Model
Journal of Applied Probability, 2017Co-Authors: Chen Yang, Kristian P. SendovaAbstract:AbstractIn this paper we investigate the Parisian ruin problem of the general dual Lévy Risk Model. Unlike the usual concept of ultimate ruin, allowing the surplus level to be negative within a prespecified period indicates that the deficit at Parisian ruin is not necessarily equal to zero. Hence, we consider a Gerber–Shiu type expected discounted penalty function at the Parisian ruin and obtain an explicit expression for this function under the dual Lévy Risk Model. As particular cases, we calculate the Parisian ruin probability and the expected discountedkth moments of the deficit at the Parisian ruin for the compound Poisson dual Risk Model and a drift-diffusion Model. Numerical examples are given to illustrate the behavior of Parisian ruin and the expected discounted deficit at Parisian ruin.
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the compound poisson Risk Model with multiple thresholds
Insurance Mathematics & Economics, 2008Co-Authors: Sheldon X Lin, Kristian P. SendovaAbstract:In this paper we consider a multi-threshold compound Poisson Risk Model. A piecewise integro-differential equation is derived for the Gerber-Shiu discounted penalty function. We then provide a recursive approach to obtain general solutions to the integro-differential equation and its generalizations. Finally, we use the probability of ruin to illustrate the applicability of the approach.
W U Chuanj - One of the best experts on this subject based on the ideXlab platform.
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ruin problems in a compound poisson renewal Risk Model with a constant interest rate
Journal of Mathematics, 2014Co-Authors: W U ChuanjAbstract:The compound Poisson-renewal Risk Model is such that the aggregate premium is a compound Poisson process and the aggregate claim is a compound renewal process. This paper considers the compound Poisson-renewal Risk Model with a constant interest rate. Using discretization method, we give the series expansions of ruin probability and the distributions of the surplus at ruin and immediately before ruin. So the recent relevant results of [1] and [2] are extended.
Junyi Guo - One of the best experts on this subject based on the ideXlab platform.
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the compound binomial Risk Model with time correlated claims
Insurance Mathematics & Economics, 2007Co-Authors: Yuntao Xiao, Junyi GuoAbstract:Abstract In this paper, we consider the compound binomial Risk Model with the time-correlated claims. It is assumed that every main claim will produce a by-claim but the occurrence of the by-claim may be delayed. We obtain the recursive formula of the joint distribution of the surplus immediately prior to ruin and deficit at ruin. Furthermore, the ruin probability is given by means of ruin probability and the deficit at ruin of the classical compound binomial Risk Model. Finally, we derive an upper bound for the ruin probability.
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On ultimate ruin in a delayed-claims Risk Model
Journal of Applied Probability, 2005Co-Authors: Kam Chuen Yuen, Junyi GuoAbstract: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.
R. I. Muttram - One of the best experts on this subject based on the ideXlab platform.
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Railway Safety's Safety Risk Model
Proceedings of the Institution of Mechanical Engineers Part F: Journal of Rail and Rapid Transit, 2002Co-Authors: R. I. MuttramAbstract:AbstractRailway Safety is an organization that coordinates the activities of the fragmented railway industry in the United Kingdom with respect to safety. It was formed from the Safety and Standards Directorate (S & SD) of Railtrack plc, the owner and operator of the UK railway infrastructure, with the objective of giving it increased independence. When the author, who is currently CEO of Railway Safety, was appointed Director of S & SD in late 1997, one of the projects he launched was the Safety Risk Model. This paper describes that Model, which is one of a suite of tools developed in recent years to improve the targeting of the industry's efforts in safety improvement in an impartial and scientifically supportable manner. The Model uses fault tree analysis and cause/consequence techniques to predict residual levels of safety Risk, after the industry's current safety control measures are applied, using observed safety performance data. The output of the Model is used to produce a regularly updated ‘Risk ...
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Railway Safety's Safety Risk Model:
Proceedings of the Institution of Mechanical Engineers Part F: Journal of Rail and Rapid Transit, 2002Co-Authors: R. I. MuttramAbstract:AbstractRailway Safety is an organization that coordinates the activities of the fragmented railway industry in the United Kingdom with respect to safety. It was formed from the Safety and Standards Directorate (S & SD) of Railtrack plc, the owner and operator of the UK railway infrastructure, with the objective of giving it increased independence. When the author, who is currently CEO of Railway Safety, was appointed Director of S & SD in late 1997, one of the projects he launched was the Safety Risk Model. This paper describes that Model, which is one of a suite of tools developed in recent years to improve the targeting of the industry's efforts in safety improvement in an impartial and scientifically supportable manner. The Model uses fault tree analysis and cause/consequence techniques to predict residual levels of safety Risk, after the industry's current safety control measures are applied, using observed safety performance data. The output of the Model is used to produce a regularly updated ‘Risk ...
Hanspeter Schmidli - One of the best experts on this subject based on the ideXlab platform.
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The Ammeter Risk Model
Risk Theory, 2017Co-Authors: Hanspeter SchmidliAbstract:A Poisson distributed number of claims is not dispersed enough to fit real data. One therefore often uses a negative binomial distribution for Models in a single period. This distribution can be constructed by mixing the Poisson parameter with a Gamma distribution. We therefore choose annually a new mixing parameter for the Cramer-Lundberg Model. The asymptotic results obtained for the classical Risk Model can then be generalised to this more general Risk Model, both for small and large claims.
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Estimation of the Lundberg coefficient for a Markov modulated Risk Model
Scandinavian Actuarial Journal, 1997Co-Authors: Hanspeter SchmidliAbstract:Abstract For a Cox Risk Model with a piecewise constant intensity some random variables with an exponential tail are constructed and an estimation procedure for the Lundberg exponent (adjustment coefficient) is proposed. It is shown that in the case of a Markov modulated Risk Model the estimator is strongly consistent.
