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Article Dans Une Revue Scandinavian Actuarial Journal Année : 2011

On finite-time ruin probabilities with reinsurance cycles influenced by large claims

Résumé

Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process : a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company. As this model needs the claim amounts to be Phase-type distributed, we explain how to fit mixtures of Erlang distributions to long-tailed distributions. Numerical applications and comparisons to results obtained from simulation methods are given. The impact of dependency between claim amounts and phase changes is studied.
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Dates et versions

hal-00430178 , version 1 (06-11-2009)
hal-00430178 , version 2 (14-05-2011)

Identifiants

  • HAL Id : hal-00430178 , version 2

Citer

Mathieu Bargès, Stéphane Loisel, Xavier Venel. On finite-time ruin probabilities with reinsurance cycles influenced by large claims. Scandinavian Actuarial Journal, 2011, pp.xxx-xxx. ⟨hal-00430178v2⟩
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