Abstract
A dynamic control model of the insurance process over n successive accounting years is considered. The analytical inference about the model requires investigations of a class of kernels describing yearly insurance mechanism.
Aiming the kernels, the approximations for the distribution of the risk reserve at time t conditional on ruin within time t in the Andersen’s collective risk model are obtained. Corrected approximations for the mean and certain numerical results are also presented.
Keywords: dynamic solvency, control, finite time ruin, approximations
Volume
Berlin
Year
2003
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Dynamic Financial Analysis (DFA);
Publications
ASTIN Colloquium
