Estimating the Probability of Ruin for Variable Premiums by Simulation

Détails

ID Serval
serval:BIB_1BA6519BB8A0
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Estimating the Probability of Ruin for Variable Premiums by Simulation
Périodique
ASTIN Bulletin
Auteur(s)
Michaud Frédéric
ISSN
0515-0361
1783-1350
Statut éditorial
Publié
Date de publication
1996
Peer-reviewed
Oui
Volume
26
Numéro
01
Pages
93-105
Langue
anglais
Résumé
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
Oui
Création de la notice
16/07/2018 14:45
Dernière modification de la notice
21/08/2019 5:34
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