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  • 标题:Diffusion Approximations of the Ruin Probability for the Insurer–Reinsurer Model Driven by a Renewal Process
  • 本地全文:下载
  • 作者:Krzysztof Burnecki ; Marek A. Teuerle ; Aleksandra Wilkowska
  • 期刊名称:Risks
  • 印刷版ISSN:2227-9091
  • 出版年度:2022
  • 卷号:10
  • 期号:6
  • 页码:129
  • DOI:10.3390/risks10060129
  • 语种:English
  • 出版社:MDPI, Open Access Journal
  • 摘要:We introduce here a diffusion-type approximation of the ruin probability both in finite and infinite time for a two-dimensional risk process, where claims and premiums are shared with a predetermined proportion. This type of process is often called the insurer–reinsurer model. We assume that the flow of claims is governed by a general renewal process. A simple ruin probability formula for the model is known only in infinite time for the special case of the Poisson process and exponentially distributed claims. Therefore, there is a need for simple analytical approximations. In the literature, in the infinite-time case, for the Poisson process, a De Vylder-type approximation has already been introduced. The idea of the diffusion approximation presented here is based on the weak convergence of stochastic processes, which enables one to replace the original risk process with a Brownian motion with drift. By applying this idea to the insurer–reinsurer model, we obtain simple ruin probability approximations for both finite and infinite time. We check the usefulness of the approximations by studying several claim amount distributions and comparing the results with the De Vylder-type approximation and Monte Carlo simulations. All the results show that the proposed approximations are promising and often yield small relative errors.
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