Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks

Chen, Yiqing; Liu, Jiajun; Yang, Yang

doi:10.1007/s11009-023-10008-3

Cited by 2 publications

(1 citation statement)

References 44 publications

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“…This application enabled the capture of dependencies between two lines of business through the incorporation of random effects. Sarmanov's distribution has also emerged as a valuable tool in analyzing ruin theory probabilities, as demonstrated by its application in studies conducted by Yang and Yuen (2016), Guo et al (2017), and more recently, Chen et al (2023). Some of the referenced studies have demonstrated that, in comparison to alternative distributions like copulas, the Sarmanov family of distributions offers a superior fit to actual insurance data.…”

Section: Introductionmentioning

confidence: 99%

Rank-Based Multivariate Sarmanov for Modeling Dependence between Loss Reserves

Abdallah,

Wang

2023

Risks

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The interdependence between multiple lines of business has an important impact on determining loss reserves and risk capital, which are crucial for the solvency of a property and casualty (P&C) insurance company. In this work, we introduce the two-stage inference method using the Sarmanov family of multivariate distributions to the actuarial literature. In fact, we study rank-based methods using the Sarmanov distribution to adequately estimate the loss reserves and properly capture the dependence between lines of business. An inadequate choice of the dependence structure may negatively impact the estimation of the marginals and, hence, the reserve. Thus, we propose a two-stage inference strategy in this research to address this, while taking advantage of the flexibility of the Sarmanov distribution. We show that this strategy leads to a more robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital and a better diversification benefit. We extend the model to the multivariate case with more than two lines of business. To illustrate and validate our methods, we use three different sets of real data from both a major US property–casualty insurer and a large Canadian insurance company.

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Section: Introductionmentioning

confidence: 99%

Rank-Based Multivariate Sarmanov for Modeling Dependence between Loss Reserves

Abdallah,

Wang

2023

Risks

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The ruin probability of a discrete risk model with unilateral linear dependent claims

Yuan,

Jiang,

Xiao

2024

MATH

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<abstract><p>This article focuses on analyzing the finite-time ruin probability within a specific class of discrete risk models. These models incorporate dependent claims, an interest rate component, and stationary noise terms exhibiting semi-heavy-tailed behavior. In this framework, the claim amount follows a unilateral linear dependent process with independent and identically distributed noise terms, while the discount factor is determined by both the interest rate and time. The finite-time ruin probability has been derived under insurance risk conditions resembling the gamma distribution.</p></abstract>

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Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks

Cited by 2 publications

References 44 publications

Rank-Based Multivariate Sarmanov for Modeling Dependence between Loss Reserves

Rank-Based Multivariate Sarmanov for Modeling Dependence between Loss Reserves

The ruin probability of a discrete risk model with unilateral linear dependent claims

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