Exploratory analysis of the probability of ruin

• Main Authors: Baes, Annalyn G., Navera, Ma. Celina B.
• Format: text
• Language: English
• Published: Animo Repository 1996
• Subjects: Probabilities; Time-series analysis; Insurance > Statistical methods; Risk (Insurance)
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/16291
• Institution: De La Salle University

This paper presents essential elements of the theory of risk. Collective risk models over an extended period are developed using these elements. Resulting models provide answers as to what is the probability that the business will ever be ruined at a certain time. These findings can be used to provide an early warning system for the management of an insurance organization.The study deals mainly with the exploratory analysis of the probability of ruin as a consequence of the initial surplus. It presents the probability of ruin for the continuous time case and discrete time case. A general model which allows correlation between claims is also presented.