Approximating the finite-time ruin probability under interest force

DOI10.1016/S0167-6687(01)00083-XMaRDI QIDQ5956046zbMATH OpenFDO

Authors Ruud Brekelmans, Anja De Waegenaere

Publication date 11 April 2002

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-6687(01)00083-X

zbMATH Keywords

aggregate claim amountboundsconstant interest forceexponential distributioninterest ratePanjer's recursive methodPareto distributionrenewal equationrisk processruin probability

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

Lower and upper bounds for the finite-time probability of ruin of a risk process with a constant interest force are derived. The time horizon is divided into small intervals, and two alternative premium income functions are considered where a fixed amount is received either at the beginning or at the end of the interval. This yields a lower bound and an upper bound for the continuous time probability of ruin when the premium income is received at a constant rate over time. For both bounds a renewal equation which depends on the distribution of the present value of the aggregate claim amount in a time interval is presented. This distribution is determined through a generalization of Panjer's recursive method. Numerical results in the cases where the claim heights have an exponential distribution or a Pareto distribution are presented.

Recommendations

• Ruin estimates under interest force
• Recursive calculation of finite time ruin probabilities under interest force.
• The adjustment function in ruin estimates under interest force
• Two-Sided Bounds for the Finite Time Probability of Ruin
• Bounding the ruin probability under force of interest

Cites work

• Delay in claim settlement
• scientific article; zbMATH DE number 3600993 (Why is no real title available?)
• scientific article; zbMATH DE number 1093829 (Why is no real title available?)
• scientific article; zbMATH DE number 857943 (Why is no real title available?)
• Macro-economic version of a classical formula in risk theory
• Present value distributions with applications to ruin theory and stochastic equations
• Recursive calculation of finite-time ruin probabilities
• Ruin estimates under interest force
• Ruin probabilities with compounding assets
• Ruin theory with compounding assets -- a survey

Cited in

(15)

• Inequality extensions of Prabhu's formula in ruin theory
• The adjustment function in ruin estimates under interest force
• Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.
• Recursive calculation of finite time ruin probabilities under interest force.
• Ruin estimates under interest force
• Calculation of finite time ruin probabilities for some risk models
• Two-Sided Bounds for the Finite Time Probability of Ruin
• Bounding the ruin probability under force of interest
• scientific article; zbMATH DE number 5502241 (Why is no real title available?)
• Computing finite-time survival probabilities using multinomial approximations of risk models
• scientific article; zbMATH DE number 1834017 (Why is no real title available?)
• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• Ruin in the perturbed compound Poisson risk process under interest force
• The win-first probability under interest force
• A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments

This page was built for publication: Approximating the finite-time ruin probability under interest force

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5956046)