Abstract
We propose a new method for calculating the risk of ruin with reference to both life and damages insurance portfolios in a finite period of time and in particular for calculating:
a) the total claims probability distribution in multivariate situations, according to the Collective Risk Theory model;
b) the time of ruin in addition to the probability distribution of the ruin amount and of the insurer’s capital before ruin, according to the Individual Risk Theory model.
a) the total claims probability distribution in multivariate situations, according to the Collective Risk Theory model;
b) the time of ruin in addition to the probability distribution of the ruin amount and of the insurer’s capital before ruin, according to the Individual Risk Theory model.
The method moves from an original idea of Amsler (1992), i.e. the idea of defining directly the random variables representing the risks incumbent on a given portfolio during a given period of time.
After making a brief discussion of the existing literature, we illustrate in detail the alternative method proposed and some numerical results obtained by applying it to the above mentioned problems.
KEYWORDS: Distribution, Risk, Ruin
Volume
Porto Cervo, Italy
Year
2000
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Colloquium
