Can I read Bankruptcy probabilities under non-Poisson inspection on EtoBox?

Bankruptcy probabilities under non-Poisson inspection by Kuipers, Florine; Mandjes, Michel; Morcy, Sara is a scholarly article available to read on EtoBox.

What is Bankruptcy probabilities under non-Poisson inspection about?

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, Cram\'er-Lundberg type asymptotics are established. Also, an importance sampling based Monte Carlo algorithm is proposed, and is shown to be logarithmically efficient.

Author

Kuipers, Florine; Mandjes, Michel; Morcy, Sara

Published

2023

Language

EN