Estimating the Probability of Ruin for Variable Premiums by Simulation

Details

Serval ID
serval:BIB_1BA6519BB8A0
Type
Article: article from journal or magazin.
Collection
Publications
Title
Estimating the Probability of Ruin for Variable Premiums by Simulation
Journal
ASTIN Bulletin
Author(s)
Michaud Frédéric
ISSN
0515-0361
1783-1350
Publication state
Published
Issued date
1996
Peer-reviewed
Oui
Volume
26
Number
01
Pages
93-105
Language
english
Abstract
There is a duality between the surplus process of classical risk theory and the single-server queue. It follows that the probability of ruin can be retrieved from a single sample path of the waiting time process of the single-server queue. In this paper, premiums are allowed to vary. It has been shown that the stationary distribution of a corresponding storage process is equal to the survival probability (with variable premiums). Thus by simulation of the corresponding storage process, the probability of ruin can be obtained. The special cases where the surplus earns interest and the premiums are charged by layers are considered and illustrated numerically.
Open Access
Yes
Create date
16/07/2018 15:45
Last modification date
21/08/2019 6:34
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