Ruin problems with worsening risks or with infinite mean claims
AbstractIn 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.
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Date of creation: 27 Sep 2012
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- Mathieu Bargès & Hélène Cossette & Stéphane Loisel & Etienne Marceau, 2011. "On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula," Post-Print hal-00426502, HAL.
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- Søren Asmussen & Romain Biard, 2011. "Ruin probabilities for a regenerative Poisson gap generated risk process," Post-Print hal-00569254, HAL.
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