Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Rui M.R. Cardoso"'
For a large motor insurance portfolio, on an open environment, we study the impact of experience rating in finite and continuous time ruin probabilities. We consider a model for calculating ruin probabilities applicable to large portfolios with a Mar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69d0e85ca6c25643f28717457549fcbe
https://hdl.handle.net/10400.5/24442
https://hdl.handle.net/10400.5/24442
Publikováno v:
ASTIN Bulletin. 47:417-435
Motor insurance is a very competitive business where insurers operate with quite large portfolios, often decisions must be taken under short horizons and therefore ruin probabilities should be calculated in finite time. The probability of ruin, in co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::253fcd5fd0c732cabbe61f8c0a49374c
https://doi.org/10.1017/asb.2017.3
https://doi.org/10.1017/asb.2017.3
Publikováno v:
ASTIN Bulletin. 45:127-150
The dual risk model assumes that the surplus of a company decreases at a constant rate over time and grows by means of upward jumps, which occur at random times and sizes. It is said to have applications to companies with economical activities involv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5997764239788ca502aba92da2033b86
https://doi.org/10.1017/asb.2014.19
https://doi.org/10.1017/asb.2014.19
Autor:
Rui M.R. Cardoso
Publikováno v:
Applied Stochastic Models in Business and Industry. 30:172-182
In this paper, we consider the classical risk model modified in two different ways by the inclusion of a dividend barrier. For Model I, we present numerical algorithms, which can be used to approximate or bound the expected discounted value of divide
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca0e7264d6ee7dbd5ea6273ebb363741
https://doi.org/10.1002/asmb.1958
https://doi.org/10.1002/asmb.1958
Publikováno v:
ICC
This paper presents a scalable solution for guaranteeing bandwidth to interactions/communications assuming no information is provided by the applications. The objective is to define and assess what the network can do with so little information both i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a0be4e85e8dd96badb0c526d1e7d9f0f
https://doi.org/10.1109/icc.2016.7510889
https://doi.org/10.1109/icc.2016.7510889
Autor:
Howard R. Waters, Rui M.R. Cardoso
Publikováno v:
Insurance: Mathematics and Economics. 37:197-215
In this paper we discuss the numerical calculation of finite time ruin probabilities for two particular insurance risk models. The first model allows for the investment at a fixed rate of interest of the surplus whenever this is above a given level.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3ea3001f97b0ed1aad5e1e4c6617f909
https://doi.org/10.1016/j.insmatheco.2004.11.005
https://doi.org/10.1016/j.insmatheco.2004.11.005
Autor:
Rui M.R. Cardoso, Howard R. Waters
Publikováno v:
Insurance: Mathematics and Economics. 33:659-676
In this paper, we consider a classical insurance surplus process affected by a constant interest force. We present numerical algorithms for the calculation of finite time ruin probabilities using a discrete time Markov chain to approximate the risk p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::96f9ba99669c293848fadf0079af90d1
https://doi.org/10.1016/j.insmatheco.2003.09.008
https://doi.org/10.1016/j.insmatheco.2003.09.008
Publikováno v:
Insurance: Mathematics and Economics. 30:219-230
In this paper we present a different approach on Dickson and Waters [Astin Bulletin 21 (1991) 199] and De Vylder and Goovaerts [Insurance: Mathematics and Economics 7 (1988) 1] methods to approximate time to ruin probabilities. By means of Markov cha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c1a07333dc3c173080470576e42d8965
https://doi.org/10.1016/s0167-6687(02)00102-6
https://doi.org/10.1016/s0167-6687(02)00102-6
We consider the compound Poisson dual risk model, dual to the well known classical risk model for insurance applications, where premiums are regarded as costs and claims are viewed as profits. The surplus can be interpreted as a venture capital like
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4b5fcf7a3b7aee73ca64bdba2486db0e
https://hdl.handle.net/10400.5/24466
https://hdl.handle.net/10400.5/24466