 Risk process estimation techniques used in the optimisation of financial resources of an insurance companyIulian Mircea, Radu Serban and Mihaela Covrig International Journal of Computational Economics and Econometrics, 2009, vol. 1, issue 2, 225-237 Abstract: In an insurance company, the risk process estimation and the estimation of the ruin probability are important concerns for an actuary: for researchers, at the theoretical level, and for the management of the company, as these influence the insurer strategy. We consider the evolution over an extended period of time of an insurer surplus process. In this paper, we present some methods for the evaluation of the ruin probability and the reserve fund. We discuss the ruin probability with respect to the parameters of the individual claim distribution, the load factor of premiums, and the intensity parameter of the number of claims process. We analyse the model for which the premiums are computed based on the mean value principle. Also, we attempt the case when the initial capital is proportional to the value of the mean individual claim. We give numerical illustration. Keywords: ruin probability; risk process estimation; adjustment coefficient; risk reserve; claim size; insurance industry; optimisation; Poisson process; failure probability; risk assessment; reserve funds. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:1:y:2009:i:2:p:225-237 Access Statistics for this article More articles in International Journal of Computational Economics and Econometrics from Inderscience Enterprises Ltd |
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