Abstract: In this work, we introduce the qualitative and
quantitative concept of the strong stability method in the risk process
modeling two lines of business of the same insurance company or
an insurance and re-insurance companies that divide between them
both claims and premiums with a certain proportion. The approach
proposed is based on the identification of the ruin probability
associate to the model considered, with a stationary distribution of a
Markov random process called a reversed process. Our objective, after clarifying the condition and the perturbation
domain of parameters, is to obtain the stability inequality of the ruin
probability which is applied to estimate the approximation error of a
model with disturbance parameters by the considered model. In the
stability bound obtained, all constants are explicitly written.
Abstract: In this paper, we study the performance of the strong
stability method of the univariate classical risk model. We interest to
the stability bounds established using two approaches. The first based
on the strong stability method developed for a general Markov chains.
The second approach based on the regenerative processes theory . By
adopting an algorithmic procedure, we study the performance of the
stability method in the case of exponential distribution claim amounts.
After presenting numerically and graphically the stability bounds, an
interpretation and comparison of the results have been done.
Abstract: In nearly all earthquakes of the past century that
resulted in moderate to significant damage, the occurrence of postearthquake
fire ignition (PEFI) has imposed a serious hazard and
caused severe damage, especially in urban areas. In order to reduce
the loss of life and property caused by post-earthquake fires, there is
a crucial need for predictive models to estimate the PEFI risk. The
parameters affecting PEFI risk can be categorized as: 1) factors
influencing fire ignition in normal (non-earthquake) condition,
including floor area, building category, ignitability, type of appliance,
and prevention devices, and 2) earthquake related factors contributing
to the PEFI risk, including building vulnerability and earthquake
characteristics such as intensity, peak ground acceleration, and peak
ground velocity. State-of-the-art statistical PEFI risk models are
solely based on limited available earthquake data, and therefore they
cannot predict the PEFI risk for areas with insufficient earthquake
records since such records are needed in estimating the PEFI model
parameters. In this paper, the correlation between normal condition
ignition risk, peak ground acceleration, and PEFI risk is examined in
an effort to offer a means for predicting post-earthquake ignition
events. An illustrative example is presented to demonstrate how such
correlation can be employed in a seismic area to predict PEFI hazard.
Abstract: Security risk models have been successful in estimating the likelihood of attack for simple security threats. However, modeling complex system and their security risk is even a challenge. Many methods have been proposed to face this problem. Often difficult to manipulate, and not enough all-embracing they are not as famous as they should with administrators and deciders. We propose in this paper a new tool to model big systems on purpose. The software, takes into account attack threats and security strength.
Abstract: At a time of growing market turbulence and a strong
shifts towards increasingly complex risk models and more stringent audit requirements, it is more critical than ever to maintain the highest quality of financial and credit information. IFC implemented
an approach that helps increase data integrity and quality significantly. This approach is called “Screening". Screening is based on linking information from different sources to identify potential
inconsistencies in key financial and credit data. That, in turn, can help
to ease the trials of portfolio supervision, and improve overall company global reporting and assessment systems. IFC experience
showed that when used regularly, Screening led to improved information.
Abstract: This paper studies ruin probabilities in two discrete-time
risk models with premiums, claims and rates of interest modelled by
three autoregressive moving average processes. Generalized Lundberg
inequalities for ruin probabilities are derived by using recursive
technique. A numerical example is given to illustrate the applications
of these probability inequalities.