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084010 (M13) Approximate solutions of severity of ruin : Di Lorenzo E., Tessitore G., Blätter der Deutschen Gellschaft für Versicherungsmathematik, Band XXII — heft 4, pp. 705–709

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
79 KB
Volume
19
Category
Article
ISSN
0167-6687

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✦ Synopsis

261

the criterion for optimality to minimizing the probability of ruin, either in discrete or continuous time. They investigate this problem through a series of case studies based on a real portfolio. Keyword~: reinsurance, optimal retention levels, finite time ruin, translated gamma process.

084010 (M13) Approximate Solutions of Severity of Ruin

Di Lorenzo E., Tessitore G., Bldtter der Deutschen Gellschaft fur Versicherungsmathematik, Band XXIIheft 4, Let G(u,y) be the severity of ruin, i.e. the probability that, starting with the initial surplus u, ruin occurs and the deficit at time of ruin is less than y (of. Gerber, Goovaerts and Kaas, 1987; Dickson, 1989). The authors determine approximate solutions for the severity of ruin using a numerical algorithm based on cubic spline approximation (of. Deligoenuel and Bilgen, 1984; Kremer, 1989). The algorithm is performed using Mathematica. Approximations for ruin probability are also obtained.

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📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 79 KB

## 261 the criterion for optimality to minimizing the probability of ruin, either in discrete or continuous time. They investigate this problem through a series of case studies based on a real portfolio. Keyword~: reinsurance, optimal retention levels, finite time ruin, translated gamma process.