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INSURANCE RISK WITH VARIABLE NUMBER OF POLICIES

Authors: Adan, I.; Kulkarni, V.;

INSURANCE RISK WITH VARIABLE NUMBER OF POLICIES

Abstract

In this article we consider an insurance company selling life insurance policies. New policies are sold at random points in time, and each policy stays active for an exponential amount of time with rate μ, during which the policyholder pays premiums continuously at rate r. When the policy expires, the insurance company pays a claim of random size. The aim is to compute the probability of eventual ruin starting with a given number of policies and a given level of insurance fund. We establish the remarkable result that the ruin probability is identical to the one in the standard compound Poisson model where the insurance fund increases at constant rate r and claims occur according to a Poisson process with rate μ.

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Netherlands
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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
bronze
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