IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v59y2014icp184-193.html
   My bibliography  Save this article

Simulation analysis of ruin capital in Sparre Andersen’s model of risk

Author

Listed:
  • Malinovskii, Vsevolod K.
  • Kosova, Ksenia O.

Abstract

Ruin capital is a function of premium rate set to render the probability of ruin within finite time equal to a given value. The analytical studies of this function in the classical Lundberg model of risk with exponential claim sizes done in Malinovskii (2014) have shown that the ruin capital’s shape is surprisingly simple. This work presents the results of related simulation studies. They are focused on the question whether this shape remains similar in Sparre Andersen’s model of risk.

Suggested Citation

  • Malinovskii, Vsevolod K. & Kosova, Ksenia O., 2014. "Simulation analysis of ruin capital in Sparre Andersen’s model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 184-193.
    • Handle: RePEc:eee:insuma:v:59:y:2014:i:c:p:184-193
    DOI: 10.1016/j.insmatheco.2014.09.004
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668714001188
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2014.09.004?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Malinovskii, Vsevolod K., 2014. "Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 301-309.
    2. Malinovskii, Vsevolod K., 2008. "Adaptive control strategies and dependence of finite time ruin on the premium loading," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 81-94, February.
    3. Malinovskii, Vsevolod K., 2013. "Level premium rates as a function of initial capital," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 370-380.
    4. Hellekalek, P., 1998. "Good random number generators are (not so) easy to find," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 46(5), pages 485-505.
    5. Vsevolod K. Malinovskii, 2014. "Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk," Risks, MDPI, vol. 2(3), pages 1-11, July.
    6. Malinovskii, Vsevolod K., 2012. "Equitable solvent controls in a multi-period game model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 599-616.
    7. Carl M. Harris, 1968. "The Pareto Distribution as a Queue Service Discipline," Operations Research, INFORMS, vol. 16(2), pages 307-313, April.
    8. Malinovskii, Vsevolod K., 1998. "Non-Poissonian claims' arrivals and calculation of the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 123-138, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Vsevolod Malinovskii, 2020. "Value-at-Risk substitute for non-ruin capital is fallacious and redundant," Papers 2005.05428, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Malinovskii, Vsevolod K., 2014. "Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 301-309.
    2. Malinovskii, Vsevolod K., 2014. "Annual intrinsic value of a company in a competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 310-318.
    3. Malinovskii, Vsevolod K., 2013. "Rationale of underwriters’ pricing conduct on competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 325-333.
    4. Vsevolod Malinovskii, 2020. "Value-at-Risk substitute for non-ruin capital is fallacious and redundant," Papers 2005.05428, arXiv.org.
    5. Malinovskii, Vsevolod K., 2013. "Level premium rates as a function of initial capital," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 370-380.
    6. Vsevolod K. Malinovskii, 2014. "Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk," Risks, MDPI, vol. 2(3), pages 1-11, July.
    7. Malinovskii, Vsevolod K., 2012. "Equitable solvent controls in a multi-period game model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 599-616.
    8. Bercher, J.-F. & Vignat, C., 2008. "A new look at q-exponential distributions via excess statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5422-5432.
    9. Maximilian Beikirch & Torsten Trimborn, 2020. "Novel Insights in the Levy-Levy-Solomon Agent-Based Economic Market Model," Papers 2002.10222, arXiv.org.
    10. Elfessi, Abdulaziz & Chun Jin, 1996. "On robust estimation of the common scale parameter of several Pareto distributions," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 345-352, September.
    11. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
    12. Ovidiu Bagdasar & Minsi Chen & Vasile Drăgan & Ivan Ganchev Ivanov & Ioan-Lucian Popa, 2023. "On Horadam Sequences with Dense Orbits and Pseudo-Random Number Generators," Mathematics, MDPI, vol. 11(5), pages 1-16, March.
    13. D. Kern, 1983. "Minimum variance unbiased estimation in the Pareto distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 30(1), pages 15-19, December.
    14. Thomas G. Koch, 2014. "Bankruptcy, Medical Insurance, And A Law With Unintended Consequences," Health Economics, John Wiley & Sons, Ltd., vol. 23(11), pages 1326-1339, November.
    15. Kleiber Christian & Zeileis Achim, 2013. "Reproducible Econometric Simulations," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 89-99, July.
    16. Majdah Badr & Muhammad Ijaz, 2021. "The Exponentiated Exponential Burr XII distribution: Theory and application to lifetime and simulated data," PLOS ONE, Public Library of Science, vol. 16(3), pages 1-20, March.
    17. Marchi, A. & Liverani, A. & Del Giudice, A., 2009. "Polynomial pseudo-random number generator via cyclic phase," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(11), pages 3328-3338.
    18. Ali Shakir Mahmood & Mohd Shafry Mohd Rahim & Nur Zuraifah Syazrah Othman, 2016. "Implementation of the Binary Random Number Generator Using the Knight Tour Problem," Modern Applied Science, Canadian Center of Science and Education, vol. 10(4), pages 1-35, April.
    19. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.
    20. Gorbunova, A.V. & Lebedev, A.V., 2023. "Nonlinear approximation of characteristics of a fork–join queueing system with Pareto service as a model of parallel structure of data processing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 214(C), pages 409-428.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:59:y:2014:i:c:p:184-193. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.