Saddlepoint approximations for the probability of ruin in finite time.

1996 ◽  
Vol 17 (3) ◽  
pp. 234-235
Author(s):  
O Barndorff-Nielsen
Keyword(s):  
Finite Time ◽  
Probability Of Ruin ◽  
Saddlepoint Approximations

Saddlepoint approximations for the probability of ruin in finite time

1995 ◽  
Vol 1995 (2) ◽  
pp. 169-186 ◽  
Author(s):  
Ole E. Barndorff-Nielsen ◽  
Hanspeter Schmidli
Keyword(s):  
Finite Time ◽  
Probability Of Ruin ◽  
Saddlepoint Approximations

MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE

2017 ◽  
Vol 47 (2) ◽  
pp. 417-435 ◽  
Author(s):  
Lourdes B. Afonso ◽  
Rui M. R. Cardoso ◽  
Alfredo D. Egídio dos Reis ◽  
Gracinda Rita Guerreiro
Keyword(s):  
Finite Time ◽  
Classical Model ◽  
Real Data ◽  
Risk Process ◽  
Ruin Probabilities ◽  
Probability Of Ruin ◽  
Insurance Portfolio ◽  
Motor Insurance ◽  
Large Motor ◽  
The Impact

AbstractMotor 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 continuous and finite time, is numerically evaluated under the classical Cramér–Lundberg risk process framework for a large motor insurance portfolio, where we allow for a posteriori premium adjustments, according to the claim record of each individual policyholder. Focusing on the classical model for bonus-malus systems, we propose that the probability of ruin can be interpreted as a measure to decide between different bonus-malus scales or even between different bonus-malus rules. In our work, the required initial surplus can also be evaluated. We consider an application of a bonus-malus system for motor insurance to study the impact of experience rating in ruin probabilities. For that, we used a real commercial scale of an insurer operating in the Portuguese market, and we also work on various well-known optimal bonus-malus scales estimated with real data from that insurer. Results involving these scales are discussed.

On Numerical Evaluation of Finite Time Survival Probabilities

1999 ◽  
Vol 5 (3) ◽  
pp. 575-584 ◽  
Author(s):  
D.C.M. Dickson
Keyword(s):  
Finite Time ◽  
Numerical Evaluation ◽  
Risk Model ◽  
Classical Risk Model ◽  
Probability Of Ruin ◽  
Survival Probabilities ◽  
Computational Aspects ◽  
The Classical Risk Model

ABSTRACTIn this paper we review three algorithms to calculate the probability of ruin/survival in finite time for the classical risk model. We discuss the computational aspects of these algorithms and consider the question of which algorithm should be preferred.

Sign in / Sign up

Export Citation Format

Share Document