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- W2793670689 abstract "Abstract After implementation of Solvency II, insurance companies can use internal risk models. In this paper, we show how to calculate finite-horizon ruin probabilities and prove for them new upper and lower bounds in a risk-switching Sparre Andersen model. Due to its flexibility, the model can be helpful for calculating some regulatory capital requirements. The model generalizes several discrete time- as well as continuous time risk models. A Markov chain is used as a ‘switch’ changing the amount and/or respective wait time distributions of claims while the insurer can adapt the premiums in response. The envelopes of generalized moment generating functions are applied to bound insurer’s ruin probabilities." @default.
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- W2793670689 date "2018-03-26" @default.
- W2793670689 modified "2023-09-27" @default.
- W2793670689 title "Finite-Horizon Ruin Probabilities in a Risk-Switching Sparre Andersen Model" @default.
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- W2793670689 doi "https://doi.org/10.1007/s11009-018-9627-2" @default.
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