Numerical evaluation of continuous time ruin probabilities for a portfolio with credibility updated premiums

• Autor(a) principal: Afonso, Lourdes B.
• Data de Publicação: 2010
• Outros Autores: Reis, Alfredo. D. Egídio dos, Waters, Howard R.
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.5/24467
• topic: Probability of Ruin; Finite Time Ruin Probabilit; Credibility Premiums; Buhlmann’s Model; Buhlmann-Straub’s Model; Large Portfolios; Numerical Evaluation

The probability of ruin in continuous and finite time is numerically evaluated in a classical risk process where the premium can be updated according to credibility models and therefore change from year to year. A major consideration in the development of this approach is that it should be easily applicable to large portfolios. Our method uses as a first tool the model developed by Afonso et al. (2009), which is quite flexible and allows premiums to change annually. We extend that model by introducing a credibility approach to experience rating. We consider a portfolio of risks which satisfy the assumptions of the B¨uhlmann (1967, 1969) or B¨uhlmann and Straub (1970) credibility models. We compute finite time ruin probabilities for different scenarios and compare with those when a fixed premium is considered.