Simulation analysis of ruin capital in Sparre Andersen’s model of risk

Vsevolod K. Malinovskii and Ksenia O. Kosova

Insurance: Mathematics and Economics, 2014, vol. 59, issue C, 184-193

Abstract: Ruin capital is a function of premium rate set to render the probability of ruin within finite time equal to a given value. The analytical studies of this function in the classical Lundberg model of risk with exponential claim sizes done in Malinovskii (2014) have shown that the ruin capital’s shape is surprisingly simple. This work presents the results of related simulation studies. They are focused on the question whether this shape remains similar in Sparre Andersen’s model of risk.

Keywords: Ruin capital; Ruin probability; Andersen’s model; Simulation analysis (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:59:y:2014:i:c:p:184-193

DOI: 10.1016/j.insmatheco.2014.09.004

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