Ruin Probability

Model and Assumptions

Other Results

  • If the occurrence of claims is not a Poisson Process, for example in Automobile portfolio in the presence of a Bonus Malus System (BMS), this method does not apply. The model has to be adjusted. Also, the Bonus Malus System is different for each Insurer, and different BMS origin different ruin probabilities.
  • Compare the impact on the ruin probabilities of different BMS.
  • Evaluate the ruin probabilities of a Automobile portfolio in the classical model (closed portfolio) and using stochastic vortices (open portfolio).
  • Compute any within the year ruin probability and the ultimate ruin probability for the portfolio.
  • Change the aggregate claim distribution during the time horizon.

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