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On some approximations used in the risk process of an insurance company

Author

Listed:
  • Michaela Covrig

    (Academy of Economic Studies,cDepartment of Mathematics, Bucharest, Romania)

  • Iulian Mircea

    (Academy of Economic Studies, Department of Mathematics, Bucharest, 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 of estimating of the ruin probability. We discuss the approximations of 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 analyze the model where the premiums are computed on the basis of the mean value principle. We give numerical illustration.

Suggested Citation

  • Michaela Covrig & Iulian Mircea, 2011. "On some approximations used in the risk process of an insurance company," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, vol. 9(1), pages 131-138, March.
    • Handle: RePEc:sko:yrbook:v:9:y:2011:i:1:p:131-138
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    More about this item

    Keywords

    ruin probability; risk process; adjustment coefficient.;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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