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On Survival and Ruin Probabilities in a Perturbed Risk Model
| Content Provider | Semantic Scholar |
|---|---|
| Author | Mircea, Iulian Şerban, Radu R. Covrig, Mihaela |
| Copyright Year | 2013 |
| Abstract | We analyze the ruin probability in infinite and finite time horizon for some risk models. This is the probability that an insurer will face ruin when it starts with some initial reserve and is subjected to independent and identical distributed claims over time. Closed form expressions for this probability are available only in few cases, therefore actuaries dwell with approximations. In this paper, we consider a perturbed risk model in which a current premium rate will be adjusted after a claim occurs and the adjusted rate is determined by the amount of the claim. At the same time, in this risk model the surplus of the insurer is perturbed by a standard Brownian motion which is independent of the number of claims process and of claim sizes. We focus on an integro-differential equation for the survival probabilities and on a discrete-time model for the ruin probabilities. We give a numerical illustration on the latter risk model. Acknowledgement. This work was supported by a grant of the Romanian National Authority for Scientific Research, CNCS-UEFISCDI, project number PN-II-ID-PCE2011-3-0593. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://profs.info.uaic.ro/~jromai/romaijournal/arhiva/2012/2/Mircea_Serban_Covrig.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
