A new look at the homogeneous risk model

Claude Lefèvre and Philippe Picard

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 512-519

Abstract: The present paper aims to revisit the homogeneous risk model investigated by De Vylder and Goovaerts (1999, 2000). First, a claim arrival process is defined on a fixed time interval by assuming that the arrival times satisfy an order statistic property. Then, the variability and the covariance of an aggregate claim amount process is discussed. The distribution of the aggregate discounted claims is also examined. Finally, a closed-form expression for the non-ruin probability is derived in terms of a family of Appell polynomials. This formula holds for all claim distributions, even dependent. It generalizes several results obtained so far.

Keywords: Risk process; Finite time horizon; Order statistic property; Variance-to-mean ratio; Convex order; Non-ruin probability; Appell polynomials (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:512-519

DOI: 10.1016/j.insmatheco.2011.08.005

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