Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities

Abstract : This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account possible dependence between the successive claim amounts. The problem under study for these risk models is the evaluation of the probabilities of (non-)ruin over any horizon of finite length. The main recent methods, exact or approximate, used to compute the ruin probabilities are reviewed and discussed in a unified way. Special attention is then paid to an analysis of the qualitative impact of dependence between claim amounts.
Type de document :
Article dans une revue
Methodology and Computing in Applied Probability, Springer Verlag, 2009, 11 (3), pp.425-441. <10.1007/s11009-009-9123-9>
Liste complète des métadonnées


https://hal.archives-ouvertes.fr/hal-00201377
Contributeur : Stéphane Loisel <>
Soumis le : vendredi 28 décembre 2007 - 13:23:34
Dernière modification le : jeudi 31 décembre 2015 - 01:03:04
Document(s) archivé(s) le : mardi 13 avril 2010 - 15:47:28

Fichier

Lefevre-Loisel-ISFA-WP2045.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

Stéphane Loisel, Claude Lefèvre. Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities. Methodology and Computing in Applied Probability, Springer Verlag, 2009, 11 (3), pp.425-441. <10.1007/s11009-009-9123-9>. <hal-00201377>

Partager

Métriques

Consultations de
la notice

204

Téléchargements du document

313