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 |
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| container_title | Computational mathematics and modeling |
| container_volume | 32 |
| creator | Belolipetskiy, A. A. Sychev, A. A. |
| description | 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. |
| doi_str_mv | 10.1007/s10598-021-09530-1 |
| format | Article |
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| ispartof | Computational mathematics and modeling, 2021-07, Vol.32 (3), p.259-275 |
| issn | 1046-283X 1573-837X |
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| subjects | 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 |
| title | A Mathematical Model of Insurer Bankruptcy on a Finite Time Interval |
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