Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums

@inproceedings{AFONSO2009CalculatingCT,
title={Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums},
author={LOURDES B. AFONSO and ALFREDO D. EGIDIO and HOWARD R. WATERS},
year={2009}
}

LOURDES B. AFONSO, ALFREDO D. EGIDIO, HOWARD R. WATERS

Published 2009

In this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite time for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios. Our method is based on the simulation of the annual aggregate claims and then on the calculation of the ruin probability for a given surplus at the start and at the end of each year… CONTINUE READING