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.
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