Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions

• Autorzy: Jasiulewicz H. , Kordecki W.

Identyfikatory

DOI

10.5277/ord150302

• Języki publikacji: EN

Abstrakty

EN

The paper focuses on a quantitative analysis of the probability of ruin in a finite time for a discrete risk process with proportional reinsurance and investment of the financial surplus. It is assumed that the total loss on a unit interval has either a light-tailed distribution – exponential distribution or a heavytailed distribution – Pareto distribution. The ruin probabilities for the finite-horizons 5 and 10 were determined from recurrence equations. Moreover, the upper bound of the ruin probability is given for the exponential distribution based on the Lundberg adjustment coefficient. This adjustment coefficient does not exist for the Pareto distribution, hence an asymptotic approximation is given for the ruin probability when the initial capital tends to infinity. The numerical results obtained are illustrated by tables and figures.

Słowa kluczowe

EN

discrete time risk process; ruin probability; proportional reinsurance; Lundberg’s inequality; regularly varying tail

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2015
• Tom: Vol. 25, No. 3
• Strony: 17--38
• Opis fizyczny: Bibliogr. 10 poz., rys., tab.

Twórcy

autor

Jasiulewicz H.

• Wrocław University of Environmental and Life Sciences, Institute of Economics and Social Sciences, ul. Norwida 25, 50-375 Wrocław, Poland

autor

Kordecki W.

• The Witelon State University of Applied Sciences in Legnica, Faculty of Technical and Economic Science, 59-220 Legnica, ul. Sejmowa 5C, Poland

Bibliografia

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