Advances in Applied Probability

On real growth and run-off companies in insurance ruin theory

Harri Nyrhinen

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Abstract

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is allowed to increase or decrease. In the latter case, the study is focused on run-off companies. Our main results give sharp asymptotic estimates for infinite-time ruin probabilities.

Article information

Source
Adv. in Appl. Probab., Volume 48, Number 3 (2016), 903-925.

Dates
First available in Project Euclid: 19 September 2016

Permanent link to this document
https://projecteuclid.org/euclid.aap/1474296320

Mathematical Reviews number (MathSciNet)
MR3568897

Zentralblatt MATH identifier
1350.91012

Subjects
Primary: 91B30: Risk theory, insurance
Secondary: 60F10: Large deviations

Keywords
Ruin probability real growth run-off company compound distribution inflation investment large deviation

Citation

Nyrhinen, Harri. On real growth and run-off companies in insurance ruin theory. Adv. in Appl. Probab. 48 (2016), no. 3, 903--925. https://projecteuclid.org/euclid.aap/1474296320


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