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.
|Titolo:||On finite-time ruin probabilities with reinsurance cycles influenced by large claims|
|Data di pubblicazione:||2013|
|Appare nelle tipologie:||01.1 - Articolo su rivista (Article)|
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