084012 (M30) The zero utility principle for scale families of risk distributions : Pfeifer D., Heidergott B. Blätter der Deutschen Gellschaft für Versicherungsmathematik, Band XXII — heft 4, pp. 711–722
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 79 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0167-6687
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✦ Synopsis
261
the criterion for optimality to minimizing the probability of ruin, either in discrete or continuous time. They investigate this problem through a series of case studies based on a real portfolio. Keyword~: reinsurance, optimal retention levels, finite time ruin, translated gamma process.
084010 (M13) Approximate Solutions of Severity of Ruin
Di Lorenzo E., Tessitore G., Bldtter der Deutschen Gellschaft fur Versicherungsmathematik, Band XXIIheft 4, Let G(u,y) be the severity of ruin, i.e. the probability that, starting with the initial surplus u, ruin occurs and the deficit at time of ruin is less than y (of. Gerber, Goovaerts and Kaas, 1987; Dickson, 1989). The authors determine approximate solutions for the severity of ruin using a numerical algorithm based on cubic spline approximation (of. Deligoenuel and Bilgen, 1984; Kremer, 1989). The algorithm is performed using Mathematica. Approximations for ruin probability are also obtained.