Ruin Probability in Finite Time

Krzysztof Burnecki and Marek Teuerle

No HSC/10/04, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: The ruin probability in finite time can only be calculated analytically for a few special cases of the claim amount distribution. The most classic example is discussed in Section 1.2. The value can always be computed directly using Monte Carlo simulations, however, this is usually a time-consuming procedure. Thus, finding a reliable approximation is really important from a practical point of view. The most important approximations of the finite time ruin probability are presented in Section 1.3. They are further illustrated in Section 1.4 using the Danish fire losses dataset, which concerns major fire losses in profits that occurred between 1980 and 2002 and were recorded by Copenhagen Re.

Keywords: Insurance risk model; Ruin probability; Segerdahl approximation; De Vylder approximation; Diffusion approximation; Brownian motion; Levy motion (search for similar items in EconPapers)
JEL-codes: C15 C46 C63 G22 G32 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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