Ruin Probability in Finite Time
AbstractThe ruin probability in finite time can only be calculated analytically for a few special cases of the claim amount distribution. The most classic example is discussed in Section 1.2. The value can always be computed directly using Monte Carlo simulations, however, this is usually a time-consuming procedure. Thus, finding a reliable approximation is really important from a practical point of view. The most important approximations of the finite time ruin probability are presented in Section 1.3. They are further illustrated in Section 1.4 using the Danish fire losses dataset, which concerns major fire losses in profits that occurred between 1980 and 2002 and were recorded by Copenhagen Re.
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Bibliographic InfoPaper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/10/04.
Length: 23 pages
Date of creation: 2010
Date of revision:
Insurance risk model; Ruin probability; Segerdahl approximation; De Vylder approximation; Diffusion approximation; Brownian motion; Levy motion;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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- Pawel Mista, 2006. "Analytical and numerical approach to corporate operational risk modelling," HSC Research Reports HSC/06/03, Hugo Steinhaus Center, Wroclaw University of Technology.
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