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PL EN


2005 | 14 | 27-44

Article title

Evaluation of the risk of automobile insurance with ruin theory

Authors

Selected contents from this journal

Title variants

Languages of publication

PL

Abstracts

EN
The paper considers the modified Sparre Andersen model which takes into account the ability of the insurer to invest its surplus in short-term assets. New derivation of the exponential upper bound for the ultimate ruin probability in this model (generalized Lundberg's inequality) is presented. The proof is based on the theory of supermartingales. As an application, the model is used to evaluate the risk of insolvency of a motor portfolio. A portfolio with a known structure of driver's claim propensity is considered in which drivers generate claims by compound Poisson processes with exponential severities. In numerical example, it is shown that the upper bound, derived for the modified Sparre Andersen model, can serve as an easy and quick indication of soundness of a portfolio. Sensitivity analysis of ruin probability is performed and its role in decision-making process of insurance company is discussed.

Year

Volume

14

Pages

27-44

Physical description

Document type

ARTICLE

Contributors

author
  • L. Delong, Szkola Gl√≥wna Handlowa w Warszawie, Instytut Ekonometrii, al. Niepodleglosci 164, 02-554 Warszawa, Poland

References

Document Type

Publication order reference

Identifiers

CEJSH db identifier
06PLAAAA00731801

YADDA identifier

bwmeta1.element.b1537405-a006-3b6e-ab2f-9eca4a96b7ba
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