CALCULATING CONTINUOUS TIME RUIN PROBABILITIES FOR A LARGE PORTFOLIO WITH VARYING PREMIUMS

被引：9

作者：

Afonso, Lourdes B. ^{[1
,2
]}

Egidio dos Reis, Alfredo D. ^{[3
,4
]}

Waters, Howard R. ^{[5
,6
]}

机构：

[1] Univ Nova Lisboa, Fac Ciencias & Tecnol, Dept Matemat, P-2829516 Caparica, Portugal

[2] Univ Nova Lisboa, Fac Ciencias & Tecnol, CMA, P-2829516 Caparica, Portugal

[3] Univ Tecn Lisboa, Dept Math, CEMAPRE, P-1200781 Lisbon, Portugal

[4] Univ Tecn Lisboa, ISEG, P-1200781 Lisbon, Portugal

[5] Heriot Watt Univ, Depart Actuarial Math & Stat, Edinburgh EH14 4AS, Midlothian, Scotland

[6] Heriot Watt Univ, Maxwell Inst Math Sci, Edinburgh EH14 4AS, Midlothian, Scotland

来源：

ASTIN BULLETIN | 2009年 / 39卷 / 01期

关键词：

D O I：

10.2143/AST.39.1.2038059

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite time for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios. Our method is based on the simulation of the annual aggregate claims and then on the calculation of the ruin probability for a given surplus at the start and at the end of each year. We calculate the within-year ruin probability assuming a translated gamma distribution approximation for aggregate claim amounts. We illustrate our method by studying the case where the premium at the start of each year is a function of the surplus level at that time or at an earlier time.

引用

页码：117 / 136

页数：20

共 20 条

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