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| Content Provider | Springer Nature Link |
|---|---|
| Author | Constantinescu, Corina Maume Deschamps, Véronique Norberg, Ragnar |
| Copyright Year | 2012 |
| Abstract | This paper considers risk processes with various forms of dependence between waiting times and claim amounts. The standing assumption is that the increments of the claims process possess exponential moments so that variations of the Lundberg upper bound for the probability of ruin are in reach. The traditional point of view in ruin theory is reversed: rather than studying the probability of ruin as a function of the initial reserve under fixed premium, the problem is to adjust the premium dynamically so as to obtain a given ruin probability (solvency requirement) for a fixed initial reserve (the financial capacity of the insurer). This programme is carried through in various models for the claims process, ranging from Cox processes with i.i.d. claim amounts, to conditional renewal (Sparre Andersen) processes. |
| Starting Page | 1 |
| Ending Page | 20 |
| Page Count | 20 |
| File Format | |
| ISSN | 21909733 |
| Journal | European Actuarial Journal |
| Volume Number | 2 |
| Issue Number | 1 |
| e-ISSN | 21909741 |
| Language | English |
| Publisher | Springer-Verlag |
| Publisher Date | 2012-03-29 |
| Publisher Place | Berlin, Heidelberg |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Lundberg upper bound Martingalizing premium rate General risk process Applications to actuarial sciences and financial mathematics Risk theory, insurance Applications of Mathematics Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Economics and Econometrics Statistics, Probability and Uncertainty |
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