Ruin problems with worsening risks or with infinite mean claims

Dominik Kortschak (1) , Stéphane Loisel (1) , Pierre Ribereau (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

In this paper, we obtain asymptotic ruin probabilities in two models where claim amounts become more and more adverse, because of phenomena like climate change or some kind of sectorial inflation. The method we use also enables us to study a risk model in which claims have infinite mean. In such models, ruin probability can be controlled by a strong increase in the premium income rate, which causes premium to become unacceptable for customers. We provide numerical illustrations of the impact of the (uncertain) speed of change in the parameter of the claim size distribution, both in terms of ruin and in terms of time at which premium becomes too high.

Domaines: Probabilités [math.PR]; Gestion des risques [q-fin.RM]

Dominik Kortschak, Stéphane Loisel, Pierre Ribereau. Ruin problems with worsening risks or with infinite mean claims. Stochastic Models, 2014, 31 (1), pp.119-152. ⟨hal-00735843⟩