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Approximating the Finite-Time Ruin Probability under Interest Force
Brekelmans,R.C.M. De Waegenaere,A.M.B.
Brekelmans,R.C.M.
De Waegenaere,A.M.B.
Abstract
We present an algorithm to determine both a lower and an upper bound for the finite-time probability of ruin for a risk process with constant interest force. We split the time horizon into smaller intervals of equal length and consider the probability of ruin in case premium income for a time interval is received at the beginning (resp. end) of that interval, which yields a lower (resp. upper) bound.For both bounds we present a renewal equation which depends on the distribution of the present value of the aggregate claim amount in a time interval.This distribution is determined through a generalization of Panjer's (1981) recursive method.
Description
Pagination: 18
Date
2000
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Operations research
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111.pdf
Adobe PDF, 272.26 KB
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Keywords
interest rate, probability, G22 - Insurance ; Insurance Companies ; Actuarial Studies
Citation
Brekelmans, R C M & De Waegenaere, A M B 2000 'Approximating the Finite-Time Ruin Probability under Interest Force' CentER Discussion Paper, vol. 2000-111, Operations research, Tilburg.
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info:eu-repo/semantics/restrictedAccess