Ruin problems with worsening risks or with infinite mean claims

Dominik Kortschak, Stéphane Loisel and Pierre Ribereau ()
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Dominik Kortschak: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Pierre Ribereau: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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Abstract: In this paper, we obtain asymptotic ruin probabilities in two models where claim amounts become more and more adverse, because of phenomena like climate change or some kind of sectorial inflation. The method we use also enables us to study a risk model in which claims have infinite mean. In such models, ruin probability can be controlled by a strong increase in the premium income rate, which causes premium to become unacceptable for customers. We provide numerical illustrations of the impact of the (uncertain) speed of change in the parameter of the claim size distribution, both in terms of ruin and in terms of time at which premium becomes too high.

Date: 2014
Note: View the original document on HAL open archive server: https://hal.science/hal-00735843v1
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Published in Stochastic Models, 2014, 31 (1), pp.119-152

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00735843

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