Ruin probabilities based at claim instants for some non-Poisson claim processes
| Autor: | David A. Stanford, Karen Lee, Krzysztof J. Stroiński |
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| Rok vydání: | 2000 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Process (computing) Type (model theory) Ruin theory Poisson distribution symbols.namesake symbols Econometrics Applied mathematics Sensitivity (control systems) Statistics Probability and Uncertainty Gambler's ruin Value (mathematics) Mathematics |
| Zdroj: | Insurance: Mathematics and Economics. 26:251-267 |
| ISSN: | 0167-6687 |
| DOI: | 10.1016/s0167-6687(99)00047-5 |
| Popis: | The paper presents a recursive method of calculating ruin probabilities for non-Poisson claim processes, by looking at the surplus process embedded at claim instants. The developed method is exact. The processes considered have both claim sizes and the inter-claim revenue following selected phase type distributions. The numerical section contains figures derived from the exact approach, as well as a tabular example using the numerical approach of De Vylder and Goovaerts. The application of the method derived in the paper through numerical examples reveals the sensitivity of the value of probability of ruin to changes in claim number process. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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