Discrete-time financial surplus models for insurance companies

Helena Jasiulewicz
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Helena Jasiulewicz: Uniwersytet Przyrodniczy we Wrocławiu

Collegium of Economic Analysis Annals, 2010, issue 21, 225-255

Abstract: This paper reviews available discrete-time surplus models and results concerning the ruin probability and the distribution of random variables related to the time of ruin in the discussed models. The following models are presented- compound binomial risk model with independent and dependent claims, Sparre Andersen model of surplus process with independent and dependent claims, and models allowing for surplus investment. The review covers works discussing continuous model approximations using discrete models.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:sgh:annals:i:21:y:2010:p:225-255

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