Impact of underwriting cycles on the solvency of an insurance company

DOI10.1080/10920277.2009.10597564MaRDI QIDQ5029078zbMATH OpenOpenAlexFDO

Authors Julien Trufin, Hansjörg Albrecher, Michel Denuit

Publication date 11 February 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2009.10597564

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

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• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• Rough descriptions of ruin for a general class of surplus processes
• Ruin theory in the linear model
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• The probability of ruin in a process with dependent increments

Cited in

(7)

• The fluctuations of insurers' risk appetite
• Equitable solvent controls in a multi-period game model of risk
• Rationale of underwriters' pricing conduct on competitive insurance market
• Competition-originated cycles and insurance strategies
• How an aggressively expanding insurance company becomes insolvent
• Time series data mining with an application to the measurement of underwriting cycles
• The theory of optimal stochastic control as applied to insurance underwriting cycles

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