A Mathematical Model of Insurer Bankruptcy on a Finite Time Interval

A Mathematical Model of Insurer Bankruptcy on a Finite Time Interval

A discrete-time model is proposed for an insurance company with a Poisson stream of new insurance policies added to the portfolio and a mixed Poisson stream of insurance claims. Recursive formulas are derived for the first three moments of the risk surplus and a lower bound is obtained for the proba...

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Veröffentlicht in:Computational mathematics and modeling 2021-07, Vol.32 (3), p.259-275
Hauptverfasser: Belolipetskiy, A. A., Sychev, A. A.
Format: Artikel
Sprache:eng
Schlagworte:
Applications of Mathematics
Bankruptcy
Computational Mathematics and Numerical Analysis
I. Mathematical Modeling
Insurance
Insurance policies
Lower bounds
Mathematical Modeling and Industrial Mathematics
Mathematical models
Mathematics
Mathematics and Statistics
Optimization
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Zusammenfassung:A discrete-time model is proposed for an insurance company with a Poisson stream of new insurance policies added to the portfolio and a mixed Poisson stream of insurance claims. Recursive formulas are derived for the first three moments of the risk surplus and a lower bound is obtained for the probability that the surplus remains positive on a given time interval.
ISSN:1046-283X
1573-837X
DOI:10.1007/s10598-021-09530-1