Finite-Horizon Ruin Probabilities in a Risk-Switching Sparre Andersen Model
2018 ◽
Vol 22
(4)
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pp. 1493-1506
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AbstractAfter implementation of Solvency II, insurance companies can use internal risk models. In this paper, we show how to calculate finite-horizon ruin probabilities and prove for them new upper and lower bounds in a risk-switching Sparre Andersen model. Due to its flexibility, the model can be helpful for calculating some regulatory capital requirements. The model generalizes several discrete time- as well as continuous time risk models. A Markov chain is used as a ‘switch’ changing the amount and/or respective wait time distributions of claims while the insurer can adapt the premiums in response. The envelopes of generalized moment generating functions are applied to bound insurer’s ruin probabilities.
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2019 ◽
Vol 13
(1)
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pp. 171-181
2011 ◽
Vol 16
(1)
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pp. 121-159
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2017 ◽
Vol 11
(1)
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pp. 625-636
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2020 ◽
Vol 22
(4)
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pp. 1507-1528
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