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http://dx.doi.org/10.5351/KJAS.2011.24.4.575

Ruin Probability on Insurance Risk Models  

Park, Hyun-Suk (Department of Finance and Information Statistics, Hallym University)
Choi, Jeong-Kyu (Department of Finance and Information Statistics, Hallym University)
Publication Information
The Korean Journal of Applied Statistics / v.24, no.4, 2011 , pp. 575-586 More about this Journal
Abstract
In this paper, we study an asymptotic behavior of the finite-time ruin probability of the compound Poisson model in the case that the initial surplus is large. To compare an exact ruin probability with an approximate one, we place the focus on the exact calculation for the ruin probability when the claim size distribution is regularly varying tailed (i.e. exponential claims and inverse Gaussian claims). We estimate an adjustment coefficient in these examples and show the relationship between the adjustment coefficient and the safety premium. The illustration study shows that as the safety premium increases so does the adjustment coefficient. Larger safety premium means lower "long-term risk", which only stands to reason since higher safety premium means a faster rate of safety premium income to offset claims.
Keywords
Insurance risk model; ruin probability; regular variation; L$\vy processes;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
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