Ruin Probability-Based Initial Capital of the Discrete-Time Surplus Process

Abstract

This paper studies an insurance model under the regulation that the insurance company has to reserve sufficient initial capital to ensure that ruin probability does not exceed the given quantity a. We prove the existence of the minimum initial capital. To illustrate our results, we give an example in approximating the minimum initial capital for exponential claims.

Volume
7
Issue
1
Page
74-81
Year
2013
Keywords
Initial capital, insurance, claim process, ruin probability
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Capital Theory
Actuarial Applications and Methodologies
Reserving
Claims Handling
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Publications
Variance
Authors
Pairote Sattayatham
Kiat Sangaroon
Watcharin Klongdee