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Part II - Risk and ruin

Published online by Cambridge University Press:  05 June 2012

Yiu-Kuen Tse
Affiliation:
Singapore Management University
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Summary

This part of the book is about two important and related topics in modeling insurance business: measuring risk and computing the likelihood of ruin. In Chapter 4 we introduce various measures of risk, which are constructed with the purpose of setting premium or capital. We discuss the axiomatic approach of identifying risk measures that are coherent. Specific measures such as Value-at-Risk, conditional tail expectation, and the distortion-function approach are discussed. Chapter 5 analyzes the probability of ruin of an insurance business in both discrete-time and continuous-time frameworks. Probabilities of ultimate ruin and ruin before a finite time are discussed. We show the interaction of the initial surplus, premium loading, and loss distribution on the probability of ruin.

Type
Chapter
Information
Nonlife Actuarial Models
Theory, Methods and Evaluation
, pp. 113 - 114
Publisher: Cambridge University Press
Print publication year: 2009

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  • Risk and ruin
  • Yiu-Kuen Tse, Singapore Management University
  • Book: Nonlife Actuarial Models
  • Online publication: 05 June 2012
  • Chapter DOI: https://doi.org/10.1017/CBO9780511812156.007
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  • Risk and ruin
  • Yiu-Kuen Tse, Singapore Management University
  • Book: Nonlife Actuarial Models
  • Online publication: 05 June 2012
  • Chapter DOI: https://doi.org/10.1017/CBO9780511812156.007
Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

  • Risk and ruin
  • Yiu-Kuen Tse, Singapore Management University
  • Book: Nonlife Actuarial Models
  • Online publication: 05 June 2012
  • Chapter DOI: https://doi.org/10.1017/CBO9780511812156.007
Available formats
×