Ruin probability in finite time

Krzysztof Burnecki and Marek Teuerle

Chapter 10 in Statistical Tools for Finance and Insurance, 2011, pp 329-348 from Springer

Abstract: Abstract In examining the nature of the risk associated with a portfolio of business, it is often of interest to assess how the portfolio may be expected to perform over an extended period of time. One approach involves the use of ruin theory (Panjer and Willmot, 1992). Ruin theory is concerned with the excess of the income (with respect to a portfolio of business) over the outgo, or claims paid. This quantity, referred to as insurer’s surplus, varies in time. Specifically, ruin is said to occur if the insurer’s surplus reaches a specified lower bound, e.g. minus the initial capital. One measure of risk is the probability of such an event, clearly reflecting the volatility inherent in the business. In addition, it can serve as a useful tool in long range planning for the use of insurer’s funds.

Keywords: Brownian Motion; Moment Generate Function; Initial Capital; Risk Process; Claim Size (search for similar items in EconPapers)
Date: 2011
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Working Paper: Ruin Probability in Finite Time (2010)
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DOI: 10.1007/978-3-642-18062-0_10

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