On a discrete-time risk model with claim correlated premiums

被引：7

作者：

Wu, Xueyuan ^{[1
]}

Chen, Mi ^{[2
]}

Guo, Junyi ^{[3
]}

Jin, Can ^{[1
]}

机构：

[1] Univ Melbourne, Dept Econ, Melbourne, Vic 3010, Australia

[2] Fujian Normal Univ, Sch Math & Comp Sci, Fuzhou 350007, Peoples R China

[3] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

来源：

ANNALS OF ACTUARIAL SCIENCE | 2015年 / 9卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Discrete-time risk model; No claims discount; Bonus-malus; Ruin probability; Deficit at ruin; Recursion;

D O I：

10.1017/S1748499515000032

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a discrete-time risk model that has a certain type of correlation between premiums and claim amounts. It is motivated by the well-known bonus-malus system (also known as the no claims discount) in the car insurance industry. Such a system penalises policyholders at fault in accidents by surcharges, and rewards claim-free years by discounts. For simplicity, only up to three levels of premium are considered in this paper and recursive formulae are derived to calculate the ultimate ruin probabilities. Explicit expressions of ruin probabilities are obtained in a simplified case. The impact of the proposed correlation between premiums and claims on ruin probabilities is examined through numerical examples. In the end, the joint probability of ruin and deficit at ruin is also considered.

引用

下载

页码：322 / 342

页数：21

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