From ruin to bankruptcy for compound Poisson surplus processes

Détails

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Etat: Serval
Version: de l'auteur
ID Serval
serval:BIB_2AC28A84C071
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
From ruin to bankruptcy for compound Poisson surplus processes
Périodique
ASTIN Bulletin
Auteur(s)
Albrecher H., Lautscham V.
ISSN
0515-0361 (Print)
1783-1350 (Online)
Statut éditorial
Publié
Date de publication
05/2013
Peer-reviewed
Oui
Volume
43
Numéro
2
Pages
213-243
Langue
anglais
Résumé
In classical risk theory, the infinite-time ruin probability of a surplus process Ct is calculated as the probability of the process becoming negative at some point in time. In this paper, we consider a relaxation of the ruin concept to the concept of bankruptcy, according to which one has a positive surplus-dependent probability to continue despite temporary negative surplus. We study the resulting bankruptcy probability for the compound Poisson risk model with exponential claim sizes for different bankruptcy rate functions, deriving analytical results, upper and lower bounds as well as an efficient simulation method. Numerical examples are given and the results are compared with the classical ruin probabilities. Finally, it is illustrated how the analysis can be extended to study the discounted penalty function under this relaxed ruin criterion.
Mots-clé
Classical risk process, Omega model, ruin probability, discounted penalty function, bankruptcy rate function
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Création de la notice
22/01/2013 14:08
Dernière modification de la notice
03/03/2018 15:23
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