On some aspects of Maximum Severity of Ruin
Das, Palash Ranjan
On some aspects of Maximum Severity of Ruin - 109-114 p.
The authors of this article engage ruin theory as a mathematical basis for quantifying the financial risks in insurance industry. Considering a classical risk model with dividend barrier, it is calibrated to obtain the maximum probability of ruin when the claim amount distribution is either exponential or Erlangian. It is to be noted that for numerical evaluation, the premium loading factor is taken to be 20 per cent in both the cases. In order to ensure fair comparison, exponential and Erlangian parameters have been chosen in such a way that their mean and the expected total claims are same for both the distributions over a given time interval. Ultimately, it is generalized that the classical risk model by considering a renewal risk model can be used to find an expression for the maximum severity of ruin in the insurance industry.
Ruin probability barrier probability Erlang distribution deficit at ruin maximum severity of ruin
On some aspects of Maximum Severity of Ruin - 109-114 p.
The authors of this article engage ruin theory as a mathematical basis for quantifying the financial risks in insurance industry. Considering a classical risk model with dividend barrier, it is calibrated to obtain the maximum probability of ruin when the claim amount distribution is either exponential or Erlangian. It is to be noted that for numerical evaluation, the premium loading factor is taken to be 20 per cent in both the cases. In order to ensure fair comparison, exponential and Erlangian parameters have been chosen in such a way that their mean and the expected total claims are same for both the distributions over a given time interval. Ultimately, it is generalized that the classical risk model by considering a renewal risk model can be used to find an expression for the maximum severity of ruin in the insurance industry.
Ruin probability barrier probability Erlang distribution deficit at ruin maximum severity of ruin