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Why ruin theory should be of interest for insurance practitioners and risk managers nowadays

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  • Stéphane Loisel

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Hans-U. Gerber

    (UNIL - Université de Lausanne = University of Lausanne)

Abstract

We present applications of risk theory to contemporary problems related to the implemented of Solvency II related concepts, like the Own Risk and Solvency Assessment.

Suggested Citation

  • Stéphane Loisel & Hans-U. Gerber, 2012. "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print hal-00746231, HAL.
    • Handle: RePEc:hal:journl:hal-00746231
    Note: View the original document on HAL open archive server: https://hal.science/hal-00746231
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    References listed on IDEAS

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    1. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.
    2. Rulliere, Didier & Loisel, Stephane, 2004. "Another look at the Picard-Lefevre formula for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.
    3. repec:hal:wpaper:hal-00746251 is not listed on IDEAS
    4. Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 55-72, January.
    5. Benjamin Avanzi, 2009. "Strategies for Dividend Distribution: A Review," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(2), pages 217-251.
    6. Ignatov, Zvetan G. & Kaishev, Vladimir K. & Krachunov, Rossen S., 2001. "An improved finite-time ruin probability formula and its Mathematica implementation," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 375-386, December.
    7. Gerber, Hans U., 1974. "On Additive Premium Calculation Principles," ASTIN Bulletin, Cambridge University Press, vol. 7(3), pages 215-222, March.
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    Cited by:

    1. Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki, 2016. "On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models," Papers 1607.01902, arXiv.org, revised Nov 2016.
    2. Avanzi, Benjamin & Pérez, José-Luis & Wong, Bernard & Yamazaki, Kazutoshi, 2017. "On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 148-162.
    3. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Papers 1309.7222, arXiv.org, revised Dec 2013.
    4. Dila Puspita & Adam Kolkiewicz & Ken Seng Tan, 2020. "Discrete Time Ruin Probability for Takaful (Islamic Insurance) with Investment and Qard-Hasan (Benevolent Loan) Activities," JRFM, MDPI, vol. 13(9), pages 1-24, September.
    5. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Working Papers hal-00866531, HAL.
    6. Y. A. Oyetayo & O. A. Abass, 2020. "Underwriting Capacity and Financial Performance on Non-Life Insurance Companies in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 6(2), pages 73-80, June.
    7. Yuguang Fan & Philip S. Griffin & Ross Maller & Alexander Szimayer & Tiandong Wang, 2017. "The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation," Risks, MDPI, vol. 5(1), pages 1-27, January.
    8. Benjamin Avanzi & Vincent Tu & Bernard Wong, 2016. "A Note on Realistic Dividends in Actuarial Surplus Models," Risks, MDPI, vol. 4(4), pages 1-9, October.

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