On ruin probabilities in risk models with interest rate

Kordzakhia, N; Novikov, A; Tsitsiashvili, G

On ruin probabilities in risk models with interest rate

Kordzakhia, N Novikov, A

Tsitsiashvili, G

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Publication Type:: Chapter
Citation:: 2012, pp. 245 - 253
Issue Date:: 2012-12-01

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Field	Value	Language
dc.contributor.author	Kordzakhia, N	en_US
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Tsitsiashvili, G	en_US
dc.date.issued	2012-12-01	en_US
dc.identifier.citation	2012, pp. 245 - 253	en_US
dc.identifier.isbn	9788847023413	en_US
dc.identifier.uri	http://hdl.handle.net/10453/31335
dc.description.abstract	An explicit formula for the finite-time ruin probability in a discrete-time collective ruin model with constant interest rate is found under the assumption that claims follow a generalised hyperexponential distribution. The formula can be used for finding approximations for finite-time ruin probabilities in the case when claim sizes follow a heavy-tailed distribution e.g. Pareto. We also provide theoretical bounds for the accuracy of approximations of the finite-time ruin probabilities in terms of a distance between the distribution of claims and its approximation. Results of numerical comparisons with asymptotic formulas and simulations are presented. © Springer-Verlag Italia 2012.	en_US
dc.relation.isbasedon	10.1007/978-88-470-2342-0_29	en_US
dc.title	On ruin probabilities in risk models with interest rate	en_US
dc.type	Chapter
utslib.for	010205 Financial Mathematics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US

Abstract:

An explicit formula for the finite-time ruin probability in a discrete-time collective ruin model with constant interest rate is found under the assumption that claims follow a generalised hyperexponential distribution. The formula can be used for finding approximations for finite-time ruin probabilities in the case when claim sizes follow a heavy-tailed distribution e.g. Pareto. We also provide theoretical bounds for the accuracy of approximations of the finite-time ruin probabilities in terms of a distance between the distribution of claims and its approximation. Results of numerical comparisons with asymptotic formulas and simulations are presented. © Springer-Verlag Italia 2012.

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http://hdl.handle.net/10453/31335