Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments

Abstract : In this paper, we consider a discrete-time ruin model where experience rating is taken into account. The main objective is to determine the behavior of the ultimate ruin probabilities for large initial capital in the case of light-tailed claim amounts. The logarithmic asymptotic behavior of the ultimate ruin probability is derived. Typical pathes leading to ruin are studied. An upper bound is derived on the ultimate ruin probability in some particular case. The influence of the number of data points taken into account is analyzed, and numerical illustrations support the theoretical findings. Finally, we investigate the heavy-tailed case. The impact of the number of data points used for the premium calculation appears to be rather different from the one in the light-tailed case.
Type de document :
Article dans une revue
Bulletin Français d'Actuariat, Institut des Actuaires, 2013, pp.xxx-xxx
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-00426790
Contributeur : Stéphane Loisel <>
Soumis le : mercredi 28 octobre 2009 - 00:11:48
Dernière modification le : jeudi 31 décembre 2015 - 01:03:04
Document(s) archivé(s) le : jeudi 17 juin 2010 - 18:26:31

Fichier

Trufin-Loisel-WP2117.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00426790, version 1

Collections

Citation

Julien Trufin, Stéphane Loisel. Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments. Bulletin Français d'Actuariat, Institut des Actuaires, 2013, pp.xxx-xxx. 〈hal-00426790〉

Partager

Métriques

Consultations de
la notice

382

Téléchargements du document

289