Generalized Life Insurance: Ruin Probabilities

E. Frostig, S. Haberman and B. Levikson

Scandinavian Actuarial Journal, 2003, vol. 2003, issue 2, 136-152

Abstract: We study ruin probabilities for generalized life insurance programs. These programs include among others whole life and long term care contracts. Clearly, in such programs the claims in successive years are dependent, hence the structure of our problem is different from that of ruin probabilities in general insurance where claims over time are independent. First, we develop algorithms calculating the ruin probabilities for life and LTC insurance programs. Further, upper and lower bounds for these probabilities are derived. These new bounds take into account the joint distribution of claims over time.

Date: 2003
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DOI: 10.1080/03461230110106390

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