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Simulation analysis of ruin capital in Sparre Andersen’s model of risk

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  • Malinovskii, Vsevolod K.
  • Kosova, Ksenia O.

Abstract

Ruin capital is a function of premium rate set to render the probability of ruin within finite time equal to a given value. The analytical studies of this function in the classical Lundberg model of risk with exponential claim sizes done in Malinovskii (2014) have shown that the ruin capital’s shape is surprisingly simple. This work presents the results of related simulation studies. They are focused on the question whether this shape remains similar in Sparre Andersen’s model of risk.

Suggested Citation

  • Malinovskii, Vsevolod K. & Kosova, Ksenia O., 2014. "Simulation analysis of ruin capital in Sparre Andersen’s model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 184-193.
    • Handle: RePEc:eee:insuma:v:59:y:2014:i:c:p:184-193
    DOI: 10.1016/j.insmatheco.2014.09.004
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    References listed on IDEAS

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    1. Malinovskii, Vsevolod K., 2008. "Adaptive control strategies and dependence of finite time ruin on the premium loading," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 81-94, February.
    2. Vsevolod K. Malinovskii, 2014. "Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk," Risks, MDPI, vol. 2(3), pages 1-11, July.
    3. Malinovskii, Vsevolod K., 2013. "Level premium rates as a function of initial capital," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 370-380.
    4. Carl M. Harris, 1968. "The Pareto Distribution as a Queue Service Discipline," Operations Research, INFORMS, vol. 16(2), pages 307-313, April.
    5. Malinovskii, Vsevolod K., 2014. "Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 301-309.
    6. Hellekalek, P., 1998. "Good random number generators are (not so) easy to find," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 46(5), pages 485-505.
    7. Malinovskii, Vsevolod K., 2012. "Equitable solvent controls in a multi-period game model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 599-616.
    8. Malinovskii, Vsevolod K., 1998. "Non-Poissonian claims' arrivals and calculation of the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 123-138, June.
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    Cited by:

    1. Vsevolod Malinovskii, 2020. "Value-at-Risk substitute for non-ruin capital is fallacious and redundant," Papers 2005.05428, arXiv.org.

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