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math.PR2020
Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps
Zbigniew Palmowski, Eleni Vatamidou
We consider in this paper a risk reserve process where the claims and gains arrive according to two independent Poisson processes. While the gain sizes are phase-type distributed,…
math.PR2020
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Hansjörg Albrecher, Martin Bladt, Eleni Vatamidou
We consider the classical Cramér-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound represe…
math.PR2019
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou +1
We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show th…