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Non-Poissonian claims' arrivals and calculation of the probability of ruin

✍ Scribed by Vsevolod K. Malinovskii

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
987 KB
Volume
22
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

✦ Synopsis

Collective risk model with a special emphasize on non-Poissonian claims' arrival processes is considered. Exact and approximate techniques for the calculation of the probabilities of ruin are examined. Simulation going back to the importance sampling is applied to two particular cases of non-Poissonian claims arrival processes to illustrate strong dependence of the probabilities of ruin on the interclaims distribution.

πŸ“œ SIMILAR VOLUMES

On the efficient evaluation of ruin prob
On the efficient evaluation of ruin probabilities for completely monotone claim distributions
✍ HansjΓΆrg Albrecher; Florin Avram; Dominik Kortschak πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 765 KB

In this paper we propose a highly accurate approximation procedure for ruin probabilities in the classical collective risk model, which is based on a quadrature/rational approximation procedure proposed in [2]. For a certain class of claim size distributions (which contains the completely monotone d