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Economic Factors and Solvency

Published online by Cambridge University Press:  09 August 2013

Harri Nyrhinen
Harri Nyrhinen*
Affiliation:
Department of Mathematics and Statistics, P.O.Box 68 (Gustaf Hällströmin Katu 2b), FIN 00014, University of Helsinki, Finland, E-mail: [email protected]
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Abstract

We study solvency of insurers in a practical model where in addition to basic insurance claims and premiums, economic factors like inflation, real growth and returns on the investments affect the capital developments of the companies. The objective is to give qualitative descriptions of risks by means of crude estimates for finite time ruin probabilities. In our setup, the economic factors have a dominant role in the estimates. In addition to this theoretical view, we will focus on applied interpretations of the results by means of discussions and examples.

The first version of the paper was presented in ASTIN Colloquium in Helsinki 2009. The colloquium was dedicated to Teivo Pentikäinen.

Keywords

Ruin probabilityinflationreal growthinvestmentcyclelarge deviation
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 40 , Issue 2 , November 2010 , pp. 889 - 915
Copyright
Copyright © International Actuarial Association 2010

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