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On real growth and run-off companies in insurance ruin theory

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  • Harri Nyrhinen

Abstract

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is allowed to increase or decrease. In the latter case, the study is focused on run-off companies. Our main results give sharp asymptotic estimates for infinite time ruin probabilities.

Suggested Citation

  • Harri Nyrhinen, 2015. "On real growth and run-off companies in insurance ruin theory," Papers 1511.01763, arXiv.org.
    • Handle: RePEc:arx:papers:1511.01763
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    References listed on IDEAS

    as
    1. Nyrhinen, Harri, 2001. "Finite and infinite time ruin probabilities in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 265-285, April.
    2. Nyrhinen, Harri, 2010. "Economic Factors and Solvency," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 889-915, November.
    3. Nyrhinen, Harri, 1995. "On the typical level crossing time and path," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 121-137, July.
    4. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    5. Asmussen, Søren & Klüppelberg, Claudia, 1996. "Large deviations results for subexponential tails, with applications to insurance risk," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 103-125, November.
    6. repec:cup:astinb:v:23:y:1993:i:01:p:95-115_00 is not listed on IDEAS
    7. repec:cup:astinb:v:15:y:1985:i:01:p:45-48_00 is not listed on IDEAS
    8. Nyrhinen, Harri, 2005. "Upper bounds of the Gärtner-Ellis theorem for the sequences of random variables," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 57-60, June.
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