On ultimate and finite horizon ruin in cramer: Lundberg model with pareto severity

Description

In this study, we conduct a systematic numerical analysis of the distribution of ruin time, as well as ultimate and finite-horizon ruin probabilities. We focus on how these outcomes vary with key parameters, including the severity (Pareto) distribution, premium safety loading, and initial capital. A particular objective is to explore the relationship and underlying structure between ruin time and the probability of ruin. In the absence of closed-form analytical expressions, it is useful to examine the accuracy of asymptotic approximations and to derive meaningful bounds. The analysis can be extended to generalized and alternative forms of the Pareto distribution, and potentially to the Sparre Andersen model, by considering different distributions for inter-claim times. This work forms part of a broader and ongoing research program conducted in collaboration with academic partners in the RARE (Risk Analysis, Ruin, and Extremes) group.

Publication Date

1-1-2015

Keywords

Compound poisson process, Heavy?tailed distribution, Ruin probability

Conference

19th International Congress on Insurance: Mathematics and Economics, June 2015, Liverpool, UK

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