Title: Risk process estimation techniques used in the optimisation of financial resources of an insurance company
Authors: Iulian Mircea, Radu Serban, Mihaela Covrig
Addresses: Department of Mathematics, Academy of Economic Studies, Piata Romana, nr. 6, sector 1, Bucharest, 010374, Romania. ' Department of Mathematics, Academy of Economic Studies, Piata Romana, nr. 6, sector 1, Bucharest, 010374, Romania. ' Department of Statistics and Econometrics, Academy of Economic Studies, Piata Romana, nr. 6, sector 1, Bucharest, 010374, Romania
Abstract: In an insurance company, the risk process estimation and the estimation of the ruin probability are important concerns for an actuary: for researchers, at the theoretical level, and for the management of the company, as these influence the insurer strategy. We consider the evolution over an extended period of time of an insurer surplus process. In this paper, we present some methods for the evaluation of the ruin probability and the reserve fund. We discuss the ruin probability with respect to the parameters of the individual claim distribution, the load factor of premiums, and the intensity parameter of the number of claims process. We analyse the model for which the premiums are computed based on the mean value principle. Also, we attempt the case when the initial capital is proportional to the value of the mean individual claim. We give numerical illustration.
Keywords: ruin probability; risk process estimation; adjustment coefficient; risk reserve; claim size; insurance industry; optimisation; Poisson process; failure probability; risk assessment; reserve funds.
International Journal of Computational Economics and Econometrics, 2009 Vol.1 No.2, pp.225 - 237
Available online: 17 Nov 2009 *Full-text access for editors Access for subscribers Purchase this article Comment on this article