Survival probabilities in bivariate risk models, with application to reinsurance

Anna Castañer, M.M. Claramunt and C. Lefèvre

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 632-642

Abstract: This paper deals with an insurance portfolio that covers two interdependent risks. The central model is a discrete-time bivariate risk process with independent claim increments. A continuous-time version of compound Poisson type is also examined. Our main purpose is to develop a numerical method for determining non-ruin probabilities over a finite-time horizon. The approach relies on, and exploits, the existence of a special algebraic structure of Appell type. Some applications in reinsurance to the joint risks of the cedent and the reinsurer are presented and discussed, under a stop-loss or excess of loss contract.

Keywords: Multirisks model; Discrete or continuous time; Finite-time ruin probability; Appell algebraic structure; Recursive methods; Stop-loss and excess of loss reinsurance (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:632-642

DOI: 10.1016/j.insmatheco.2013.09.001

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