Dependent Risks and Ruin Probabilities in Insurance
نویسنده
چکیده
Classical risk process models in insurance rely on independency. However, especially when modelling natural events, this assumption is very restrictive. This paper proposes a new approach to introducing dependency structures between events into the model and investigates its effects on a crucial parameter for insurance companies, the probability of ruin. Explicit formulas, numerical simulations and sensitivity results for dependence are established for different dependency models of first-order markovian type indicating that for various scenarios dependency considerably increases the probability of ruin.
منابع مشابه
Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks
This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial risks are denoted by another sequence of independent and identically distributed positive random variables with a finite upper endpoint, but a gen...
متن کاملAsymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
متن کامل
The impact on ruin probabilities of the association structure among financial risks
We consider a discrete-time insurance risk model, in which the financial risks constitute a stationary process with finite dimensional distributions of Farlie–Gumbel–Morgenstern type. We obtain an exact asymptotic formula for the ruin probability, reflecting the impact of this kind of association structure among the financial risks. r 2007 Elsevier B.V. All rights reserved.
متن کاملRuin Probabilities in a Discrete Time Risk Model with Dependent Risks of Heavy Tail
This paper establishes some asymptotic results for both finite and ultimate ruin probabilities in a discrete time risk model with constant interest rates, and individual net losses in R−α, the class of regular variation with index α > 0. The individual net losses are allowed to be generally dependent while they have zero index of upper tail dependence, so that our results partially generalize t...
متن کاملRuin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends
We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities. We focus on the development of a recursive computational procedure to calculate the finite-time ruin probabilities and expected total discounted dividends paid prior t...
متن کامل