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On real growth and run-off companies in insurance ruin theory

Part of: Mathematical economics Limit theorems

Published online by Cambridge University Press:  19 September 2016

Harri Nyrhinen
Harri Nyrhinen*
Affiliation:
University of Helsinki
*
* Postal address: Department of Mathematics and Statistics, University of Helsinki, PO Box 68 (Gustaf Hällströmin Katu 2b), FIN 00014, Finland. Email address: harri.nyrhinen@helsinki.fi
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Abstract

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is allowed to increase or decrease. In the latter case, the study is focused on run-off companies. Our main results give sharp asymptotic estimates for infinite-time ruin probabilities.

Keywords

Ruin probabilityreal growthrun-off companycompound distributioninflationinvestmentlarge deviation

MSC classification

Primary: 91B30: Risk theory, insurance
Secondary: 60F10: Large deviations

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 48 , Issue 3 , September 2016 , pp. 903 - 925
Copyright
Copyright © Applied Probability Trust 2016 

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