Insurance

New Data from University of Windsor Illuminate Research in Insurance Economics

  2012 FEB 3 - (VerticalNews.com) -- "This paper analyzes ruin-like risk models in Insurance, which are variants of the Cramer-Lundberg (C-L) model with a barrier or a threshold. We consider three model variants, which have different portfolio strategies when the risk reserve reaches the barrier or exceeds the threshold," investigators in Windsor, Canada report.

  "In these models we construct a time-extended risk process defined on cycles of a specific renewal process. The time until ruin is equal to one cycle of the specific renewal process. We also consider a fourth model, which is a variant of a model proposed by Dickson and Waters (2004). The analysis of each model employs a level crossing method (LC) to derive the steady-state probability distribution of the time-extended risk process," wrote P.H. Brill and colleagues, University of Windsor.

  The researchers concluded: "From the derived distribution we compute the expected time until ruin, the probability distribution of the deficit at ruin, and related quantities of interest."

  Brill and colleagues published their study in Insurance Mathematics & Economics (Analysis of risk models using a level crossing technique. Insurance Mathematics & Economics, 2011;49(3):298-309).

  For additional information, contact P.H. Brill, University of Windsor, Dept. of Math & Stat, Windsor, ON N9B 3P4, Canada.

  The publisher of the journal Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

  Keywords: City:Windsor, State:Ontario, Country:Canada, Region:North and Central America, Insurance Economics

  This article was prepared by VerticalNews Insurance editors from staff and other reports. Copyright 2012, VerticalNews Insurance via VerticalNews.com.