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.

On finite-time ruin probabilities with reinsurance cycles influenced by large claims / Barges, M; Loisel, S; Venel, Xavier Mathieu Raymond. - In: SCANDINAVIAN ACTUARIAL JOURNAL. - ISSN 0346-1238. - 3(2013), pp. 163-185. [10.1080/03461238.2011.589145]

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

Venel X
2013

Abstract

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.
finite-time ruin probability, reinsurance cycles, Erlangization, dependence in risk theory, phase-type distributions
On finite-time ruin probabilities with reinsurance cycles influenced by large claims / Barges, M; Loisel, S; Venel, Xavier Mathieu Raymond. - In: SCANDINAVIAN ACTUARIAL JOURNAL. - ISSN 0346-1238. - 3(2013), pp. 163-185. [10.1080/03461238.2011.589145]
File in questo prodotto:
File Dimensione Formato  
On finite time ruin probabilities with reinsurance cycles influenced by large claims.pdf

Solo gestori archivio

Tipologia: Versione dell'editore
Licenza: Tutti i diritti riservati
Dimensione 524.27 kB
Formato Adobe PDF
524.27 kB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/197461
Citazioni
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 3
social impact