On ruin probabilities in risk models with interest rate | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/166314

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Title: On ruin probabilities in risk models with interest rate
Related: Perna, Cira and Sibillo, Marilena. Mathematical and statistical methods for actuarial sciences and finance, p.245-253
DOI: 10.1007/978-88-470-2342-0_29
Publisher: Milan, Italy : Springer
Date: 2012
Author/Creator: Kordzakhia, Nino
Author/Creator: Novikov, Alexander
Author/Creator: Tsitsiashvili, Gurami
Description: An explicit formula for the finite-time ruin probability in a discrete-time collective ruin model with constant interest rate is found under the assumption that claims follow a generalised hyperexponential distribution. The formula can be used for finding approximations for finite-time ruin probabilities in the case when claim sizes follow a heavy-tailed distribution e.g. Pareto. We also provide theoretical bounds for the accuracy of approximations of the finite-time ruin probabilities in terms of a distance between the distribution of claims and its approximation. Results of numerical comparisons with asymptotic formulas and simulations are presented.
Description: 9 page(s)
Subject Keyword: Discrete time risk process
Subject Keyword: autoregressive risk process
Subject Keyword: ruin probability
Subject Keyword: Pareto distribution
Subject Keyword: hyperexponential distribution
Resource Type: book chapter
Organisation: Macquarie University. Dept. of Statistics

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