On some approximations used in the risk process of an insurance company

Michaela Covrig () and Iulian Mircea ()
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Michaela Covrig: Academy of Economic Studies,cDepartment of Mathematics, Bucharest, Romania
Iulian Mircea: Academy of Economic Studies, Department of Mathematics, Bucharest, Romania

Yearbook of the Faculty of Economics and Business Administration, Sofia University, 2011, vol. 9, issue 1, 131-138

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 of estimating of the ruin probability. We discuss the approximations of 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 analyze the model where the premiums are computed on the basis of the mean value principle. We give numerical illustration.

Keywords: ruin probability; risk process; adjustment coefficient. (search for similar items in EconPapers)
JEL-codes: C02 G22 G32 (search for similar items in EconPapers)
Date: 2011
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