
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 delayedrenewal processes is introduced and related to previous models which have been used in Collective Risk Theory. it is observed that nonstationarity of the portfolio agestructure within this model can have a significant impact upon probabilities of ruin. When the portfolio size is constant and the policy agedistribution 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 largedeviation theorem of Groeneboom, Oosterhoff, and Ruymgaart (1979). One consequence is that for nonPoisson claimarrivals, the largedeviation probabilities of ruin are noticeably affected by the decision to model many parallel policy lines in place of one line with correspondingly faster claimarrivals. 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