CFP last date
20 December 2024
Call for Paper
January Edition
IJCA solicits high quality original research papers for the upcoming January edition of the journal. The last date of research paper submission is 20 December 2024

Submit your paper
Know more
The week's pick
Responsive image
Improved Shuffled Frog Leaping Algorithm with Self-Adaptive Shuffling for Fuzzy Logic PD+G Controller Optimization in Robotic Manipulators

Duc Hoang Nguyen
Random Articles
Reseach Article

Infinite Time Exact Ruin Probabilities in a Stochastic Economic Environment

by R. Manimaran
journal cover thumbnail

International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 77 - Number 4
Year of Publication: 2013
Authors: R. Manimaran
10.5120/13380-0999

R. Manimaran . Infinite Time Exact Ruin Probabilities in a Stochastic Economic Environment. International Journal of Computer Applications. 77, 4 ( September 2013), 8-12. DOI=10.5120/13380-0999

@article{ 10.5120/13380-0999,
author = { R. Manimaran },
title = { Infinite Time Exact Ruin Probabilities in a Stochastic Economic Environment },
journal = { International Journal of Computer Applications },
issue_date = { September 2013 },
volume = { 77 },
number = { 4 },
month = { September },
year = { 2013 },
issn = { 0975-8887 },
pages = { 8-12 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume77/number4/13380-0999/ },
doi = { 10.5120/13380-0999 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-06T21:49:21.195572+05:30
%A R. Manimaran
%T Infinite Time Exact Ruin Probabilities in a Stochastic Economic Environment
%J International Journal of Computer Applications
%@ 0975-8887
%V 77
%N 4
%P 8-12
%D 2013
%I Foundation of Computer Science (FCS), NY, USA
Abstract

This article investigates the infinite-time ruin probabilities in a discrete-time stochastic economic environment platform under the assumption that the insurance risk-the total net loss within one time period is absolute-repeatedly-varying or suddenly-varying tailed, a different accurate estimates for the ruin probabilities are derived. In particular, some estimates found are standardized with respect to the time horizon, and so utilize in the case of infinite-time ruin.

References
  1. Resnick, S. I. 1987. Extreme Values, Regular Variation, and Point Processes. Springer, New York.
  2. Rogozin, B. A. 1999. On the constant in the definition of subexponential distributions. Teor. Veroyat. Primen.
  3. Paulsen, J. 2002. On Cramér-like asymptotics for risk processes with stochastic return on investments.
  4. Nyrhinen, H. 2001. Finite and infinite time ruin probabilities in a stochastic economic environment. Stoch. Process
  5. Norberg, R. 1999. Ruin problems with assets and liabilities of diffusion type. Stoch. Process.
  6. Konstantinides, D. , Tang, Q. and Tsitsiashvili, G. 2002. Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. Insurance Math. Econom.
  7. Klüppelberg, C. and Mikosch, T. 1997. Large deviations of heavy-tailed random sums with applications in insurance and finance.
  8. Klüppelberg, C. 1989. Subexponential distributions and characterizations of related classes. Prob. Theory Relat
  9. Kalashnikov, V. and Norberg, R. (2002). Power tailed ruin probabilities in the presence of risky investments. Stoch. Process
  10. Kalashnikov, V. and Konstantinides, D. (2000). Ruin under interest force and subexponential claims: a simple treatment
  11. Geluk, J. L. and de Haan, L. (1987). Regular Variation, Extensions and Tauberian Theorems (CWI Tract 40). CWI, Amsterdam
  12. De Haan, L. (1970). On Regular Variation and its Application to the Weak Convergence of Sample Extremes (Math. Centre Tracts 32)
  13. Chover, J. , Ney, P. and Wainger, S. (1973a). Functions of probability measures
  14. Sato, K. -I. (1999). L´evy Processes and In?nitely Divisible Distributions. Cambridge Univ. Press.
  15. Schmidli, H. (2001). Distribution of the ?rst ladder height of a stationary risk process perturbed by ?- stable L´evy motion. Insurance Math. Econom
  16. Kluppelberg ¨ , C. , Kyprianou, A. E. and Maller, R. A. (2003). Ruin probabilities and overshoots for general L´evy insurance risk processes
  17. Zolotarev, V. M. (1964). The ?rst passage time of a level and behavior at in?nity for a class of processes with independent increments.
Index Terms

Computer Science
Information Sciences

Keywords

End point extended regular variation financial risk insurance risk rapid variation and ruin probability.

Powered by PhDFocusTM