About Risk Process Estimation Techniques Employed By A Virtual Organization Which Is Directed Towards The Insurance Business
In 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.
Volume (Year): 2 (2008)
Issue (Month): 1 (May)
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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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