搜索结果: 1-15 共查到“Ruin”相关记录33条 . 查询时间(0.156 秒)
PC-BASED 3D IMAGE MEASURING STATION WITH DIGITAL CAMERA AN EXAMPLE OF ITS ACTUAL APPLICATION ON A HISTORICAL RUIN
Three-dimensional Measurement Digital Camera Calibration Non-Metric Close Range Historical Ruin
2015/5/25
We have developed a new inexpensive PC-based photogrammetry system, by which we can accomplish rapidly in real time all the measurement and analysis, including photographing, 3D measurement, plotting,...
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
Maximizing Utility Consumption Subject a Constraint Lifetime Ruin
2012/9/14
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which ...
A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)
retirement income sustainability blueprint ruin contingent life annuity Risk Management
2012/6/4
The purpose of this article is twofold. First, we motivate the need for a new type of stand-alone retirement income insurance product that would help individuals protect against personal longevity ris...
Valuation and hedging of the ruin-contingent life annuity (RCLA)
Valuation hedging of the ruin-contingent life annuity RCLA Pricing of Securities
2012/6/5
This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" ...
Ruin theory with a Markov chain interest model
Probability Markov chain Ruin function Interest
2011/11/5
In this paper we consider a discrete time risk process with a Markov chain interest model. We derive recursive equations satisfied respectively by the joint distribution of surplus immediately before ...
Exponential and non-exponential upper bounds for the ruin probabilities for the double Cox processes risk models
Probability Double Cox processes Martingale method
2011/11/4
In this paper, we consider a general insurance risk model in which the premium income process and the claim process are based on Cox processes. Exponential upper bounds for ruin probabilities are obta...
Dividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin
Absolute Ruin Markov-Dependent Insurance Risk Model Debit Interest Moment-Generating Function
2013/2/19
In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Ma...
Parisian ruin probability for spectrally negative Lévy processes
L´ evy process ruin probability Parisian ruin risk process
2011/3/23
In this note we give, for a spectrally negative L\'evy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below ze...
Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution
heavy traffic ruin probability fractional random walk FARIMA process Poisson process
2011/3/23
Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as some FARIMA processe...
Optimization of dividend and reinsurance strategies under ruin probability constraint
Nonlinear regular-singular stochastic optimal control Ruin
2010/10/20
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected p...
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Risk theory absolute ruin Ornstein-Uhlenbeck type processes
2010/10/20
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornst...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifetime ruin
2010/10/19
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial ma...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/27
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifet imeruin stochastic volatility
2010/4/27
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial mar...