serval:BIB_2AC28A84C071
From ruin to bankruptcy for compound Poisson surplus processes
10.1017/asb.2013.4
000341996300007
Albrecher
H.
author
Lautscham
V.
author
article
2013-05
ASTIN Bulletin
0515-0361
1783-1350
journal
43
2
213-243
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.
Classical risk process
Omega model
ruin probability
discounted penalty function
bankruptcy rate function
eng
60_published
peer-reviewed
University of Lausanne
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