Dependent Risks and Ruin Probabilities in Insurance

Albrecher H (1998). Dependent Risks and Ruin Probabilities in Insurance. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-98-072

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Abstract

Classical risk process models in insurance rely on independency. However, especially when modeling natural events, this assumption is very restrictive. This paper proposes a new approach to introducing dependency structures between events into the model and investigates its effects on a crucial parameter for insurance companies, the probability of ruin. Explicit formulas, numerical simulations and sensitivity results for dependence are established for different dependency models of first-order markovian type indicating that for various scenarios dependency considerably increases the probability of ruin.

Item Type: Monograph (IIASA Interim Report)
Research Programs: Risk, Modeling, Policy (RMP)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:10
Last Modified: 15 Nov 2016 14:30
URI: http://pure.iiasa.ac.at/5579

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