Bankruptcy probabilities under non-Poisson inspection

preprint2023arXivOpen access

Abstract

This paper concerns an insurance firm's surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an explicit expression for the corresponding transform is given. In addition, Cramér-Lundberg type asymptotics are established. Also, an importance sampling based Monte Carlo algorithm is proposed, and is shown to be logarithmically efficient.

Explore this paper’s authors, topics and related work.

Building this map preview

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Reviews 0

Write a reviewWrite

No reviews yet.

Discussion 0

Add a commentWrite

No comments yet.