ASSESSMENT OF THE RUIN PROBABILITIES

作者：Tanasescu Paul^*; Mircea Iulian

来源：Economic Computation and Economic Cybernetics Studies and Research, 2014, 48(3): 79-98.

• Brownian motion
• corrected diffusion approximation
• risk process
• ruin probability
• surplus process

In this paper, we analyze the ruin probability for some risk models, which is the probability that an insurer will face ruin in finite time when the insurer starts with initial reserve and is subjected to independent and identically distributed claims over time. The ideal is as we are able to come up with closed form solutions for the infinite horizon ruin probability and the finite horizon ruin probability. But, the cases where this is possible are few; therefore we must make approximations of ruin probability. In this paper, we insist on the discrete time insurance model and on the diffusion approximation and so-called %26quot;corrected di/fusion approximation (CDA)%26quot;. We analyze the ruin probability with respect to: the parameters of the individual claim distribution and the intensity parameter of the number of claims process. Ruin theory with debit and credit interest has received considerable attention in recent years. In this line, we consider a perturbed risk model in which a current premium rate will be adjusted in any period (usually year) in which there are no losses and any surplus available at the beginning of the period is reinvested. Also, we analyze and the inverse problem: to determine the initial reserve when it is given the ruin probability.

• 出版日期2014