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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 that for regularly varying claim sizes the probability of ruin after reinsurance is also regularly varying in terms of the initial capital, and derive an explicit asymptotic expression for the latter. We establish this result by leveraging recent developments on sample-path large deviations for heavy tails. Our results allow, on the asymptotic level, for an explicit comparison between two well-known large-claim reinsurance contracts, namely LCR and ECOMOR. We finally assess the accuracy of the resulting approximations using state-of-the-art rare event simulation techniques.
Our work aims to study the tail behaviour of weighted sums of the form $sum_{i=1}^{infty} X_{i} prod_{j=1}^{i}Y_{j}$, where $(X_{i}, Y_{i})$ are independent and identically distributed, with common joint distribution bivariate Sarmanov. Such quantiti
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs until the tim
We consider the classical Cramer-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound representation, we propose control variate techniques to efficiently simulate
This work describes the adaptation of a pretrained sequence-to-sequence model to the task of scientific claim verification in the biomedical domain. We propose VERT5ERINI that exploits T5 for abstract retrieval, sentence selection and label predictio
In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider f