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| HAL : hal-00430178, version 2 |
| Fiche détaillée |  Récupérer au format |
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| Scandinavian Actuarial Journal (2011) xxx-xxx |
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| Versions disponibles : | v1 (09-11-2009) | v2 (17-05-2011) |
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| On finite-time ruin probabilities with reinsurance cycles influenced by large claims |
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| Mathieu Bargès 1, 2Stéphane Loisel 1 |
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| (2011) |
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| Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process : a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company. As this model needs the claim amounts to be Phase-type distributed, we explain how to fit mixtures of Erlang distributions to long-tailed distributions. Numerical applications and comparisons to results obtained from simulation methods are given. The impact of dependency between claim amounts and phase changes is studied. |
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| 1 : | Laboratoire de Sciences Actuarielle et Financière (SAF) |
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Université Claude Bernard - Lyon I : EA2429 |
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| 2 : | Ecole d'Actuariat |
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Université Laval |
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| 3 : | Equipe combinatoire et optimisation (C&O) |
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Université Paris VI - Pierre et Marie Curie – CNRS : FRE3232 |
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| 4 : | Institut de Mathématiques de Jussieu (IMJ) |
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CNRS : UMR7586 – Université Paris VI - Pierre et Marie Curie – Université Paris VII - Paris Diderot |
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| Domaine | : | Sciences de l'Homme et Société/Economies et finances Mathématiques/Probabilités |
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| hal-00430178, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00430178 | |
| oai:hal.archives-ouvertes.fr:hal-00430178 | |
| Contributeur : Stéphane Loisel | |
| Soumis le : Samedi 14 Mai 2011, 15:08:40 | |
| Dernière modification le : Lundi 6 Juin 2011, 11:38:15 | |
