On finite-time ruin probabilities with reinsurance cycles influenced by large claims

被引：4

作者：

Barges, Mathieu ^{[1
,2
]}

Loisel, Stephane ^{[1
]}

Venel, Xavier ^{[3
]}

机构：

[1] Univ Lyon 1, Inst Sci Financiere & Assurances, F-69365 Lyon, France

[2] Univ Laval, Ecole Actuariat, Quebec City, PQ, Canada

[3] Univ Toulouse 1, Toulouse Sch Econ, Grp Rech Econ Math & Quantitat, F-31042 Toulouse, France

来源：

SCANDINAVIAN ACTUARIAL JOURNAL | 2013年 / 03期

关键词：

finite-time ruin probability; reinsurance cycles; Erlangization; dependence in risk theory; phase-type distributions; RISK; DEPENDENCE; MIXTURES; PROPERTY; FORMULA; MODEL;

D O I：

10.1080/03461238.2011.589145

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process: a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company. Numerical applications and comparisons to results obtained from simulation methods are given. The impact of dependency between claim amounts and phase changes is studied.

引用

页码：163 / 185

页数：23

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