About Risk Process Estimation Techniques Employed By A Virtual Organization Which Is Directed Towards The Insurance Business
AbstractIn a virtual organization directed on the insurance business, the estimations of the risk process and of the ruin probability are important concerns: for researchers, at the theoretical level, and for the management of the company, as these influence the insurer strategy. We consider the evolution over an extended period of time of the insurer surplus process. In this paper, we present some methods for the estimation of the ruin probability and for the evaluation of a reserve fund. We discuss the ruin probability with respect to: the parameters of the individual claim distribution, the load factor of premiums and the intensity parameter of the number of claims process. We analyze the model in which the premiums are computed according to the mean value principle. Also, we attempt the case when the initial capital is proportional to the expected value of the individual claim. We give numerical illustration.
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Bibliographic InfoArticle provided by University of Oradea, Faculty of Economics in its journal The Journal of the Faculty of Economics - Economic.
Volume (Year): 2 (2008)
Issue (Month): 1 (May)
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Postal: Universitatii str. 1, Office F209, 410087 Oradea, Bihor
Fax: 004 0259 408409
Web page: http://anale.steconomiceuoradea.ro/
More information through EDIRC
virtual organization; ruin probability; risk process; adjustment coefficient;
Find related papers by JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- J21 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Force and Employment, Size, and Structure
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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- Grandell, Jan, 2000. "Simple approximations of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 157-173, May.
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