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

被引：4
|
作者：
Barges, Mathieu [1 ,2 ]
Loisel, Stephane [1 ]
Venel, Xavier [3 ]
机构：
[1] Univ Lyon 1, Inst Sci Financiere & Assurances, F-69365 Lyon, France
[2] Univ Laval, Ecole Actuariat, Quebec City, PQ, Canada
[3] Univ Toulouse 1, Toulouse Sch Econ, Grp Rech Econ Math & Quantitat, F-31042 Toulouse, France
来源：
SCANDINAVIAN ACTUARIAL JOURNAL | 2013年 / 03期
关键词：
finite-time ruin probability; reinsurance cycles; Erlangization; dependence in risk theory; phase-type distributions; RISK; DEPENDENCE; MIXTURES; PROPERTY; FORMULA; MODEL;
D O I：
10.1080/03461238.2011.589145
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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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页码：163 / 185
页数：23
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