Accession Number : ADA195820

Title :   Moderate- and Large- Deviation Probabilities in Actuarial Risk Theory,

Corporate Author : MARYLAND UNIV COLLEGE PARK DEPT OF MATHEMATICS

Personal Author(s) : Slud, Eric V ; Hoesman, Craig

PDF Url : ADA195820

Report Date : Jun 1988

Pagination or Media Count : 29

Abstract : A general model for the actuarial Risk Reserve Process as a superposition of compound delayed-renewal processes is introduced and related to previous models which have been used in Collective Risk Theory. it is observed that nonstationarity of the portfolio age-structure within this model can have a significant impact upon probabilities of ruin. When the portfolio size is constant and the policy age-distribution is stationary, the moderate- and large- deviation probabilities of ruin are bounded and calculated using the strong approximation results of Csorgo, Horvath and Steinebach (1987) and a large-deviation theorem of Groeneboom, Oosterhoff, and Ruymgaart (1979). One consequence is that for non-Poisson claim-arrivals, the large-deviation probabilities of ruin are noticeably affected by the decision to model many parallel policy lines in place of one line with correspondingly faster claim-arrivals. Keywords: Asymptotics; Mathematical models. (KR)

Descriptors :   *PROBABILITY, *RISK, *INSURANCE, DECISION MAKING, MATHEMATICAL MODELS, MODELS, THEORY

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE