Bankruptcy probabilities under non-Poisson inspection
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
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| _version_ | 1866917200106881024 |
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| author | Kuipers, Florine Mandjes, Michel Morcy, Sara |
| author_facet | Kuipers, Florine Mandjes, Michel Morcy, Sara |
| contents | This paper concerns an insurance firm's surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an explicit expression for the corresponding transform is given. In addition, Cramér-Lundberg type asymptotics are established. Also, an importance sampling based Monte Carlo algorithm is proposed, and is shown to be logarithmically efficient. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_12769 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Bankruptcy probabilities under non-Poisson inspection Kuipers, Florine Mandjes, Michel Morcy, Sara Probability This paper concerns an insurance firm's surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an explicit expression for the corresponding transform is given. In addition, Cramér-Lundberg type asymptotics are established. Also, an importance sampling based Monte Carlo algorithm is proposed, and is shown to be logarithmically efficient. |
| title | Bankruptcy probabilities under non-Poisson inspection |
| topic | Probability |
| url | https://arxiv.org/abs/2308.12769 |