Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model (Q2218859)

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scientific article; zbMATH DE number 7297567
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    Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
    scientific article; zbMATH DE number 7297567

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      Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model (English)
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      18 January 2021
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      The study is inspired by the importance of the role of internal models for insurance companies, following the implementation of Solvency II. In particular, the paper focuses on the methodologies for calculating finite-horizon ruin probabilities, also obtaining new upper and lower bounds in a risk-switching Sparre Andersen model. The model presented throughout the paper shows an interesting flexibility to a wide range of applications, such as the calculation of some regulatory capital requirements. The model, which generalizes previous discrete time and continuous time risk models, makes use of the introduction of a Markov chain, which represents a sort of `switch' changing the amount and the wait time distributions of claims, while the insurer can adapt the premiums in response.
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      risk operators
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      risk-switching models
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      ruin probabilities
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      Mgf's envelopes
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      risk management based on internal models
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      Solvency II
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