volume 2, issue 3, P727-740 1996
DOI: 10.1017/s1357321700003536
View full text
|
|
Share
D.C.M. Dickson, H.R. Waters

Abstract: ABSTRACTIn this paper we use a case study of a non-life insurance portfolio to demonstrate how recent research in ruin theory can be applied to solvency problems. By approximating the aggregate claims distribution for the portfolio by a translated gamma distribution, we estimate ruin probabilities through a recursive procedure when the insurer earns investment income on its surplus. We also show the results of applying simulation techniques to this problem, and discuss some advantages and disadvantages of simu…

expand abstract