Application of Aggregate Loss Models and Ruin Theory in Determining the Probability of Ruin
DOI:
https://doi.org/10.24252/msa.v10i2.33821Keywords:
Aggregate loss model, Probability of bankruptcyAbstract
Losses in a company that greatly affect its ability to survive (continue operating). This article discusses the application of a loss model used to predict the time until a company goes bankrupt. The loss model used is an aggregate loss model with a collective risk model. Determining the time until the first loss occurs involves ruin theory and a loss claim model with a Poisson-distributed frequency and severity distributed exponentially, Pareto, and Gamma.
References
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Castañer, A., Claramunt, M. M., Gathy, M., Lefèvre, C., & Mármol, M. (2013). Ruin problems for a discrete time risk model with non-homogeneous conditions. Scandinavian Actuarial Journal, (2), 83–102. https://doi.org/10.1080/03461238.2010.546144
Dickson, D. C. M. (2005). Insurance risk and ruin. Insurance Risk and Ruin (pp. 1–229). Cambridge University Press. https://doi.org/10.1017/CBO9780511624155
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Li, S., & Sendova, K. P. (2013). The finite-time ruin probability under the compound binomial risk model. European Actuarial Journal, 3(1), 249–271. https://doi.org/10.1007/s13385-013-0063-y
Yang, C., & Sendova, K. P. (2014). The ruin time under the Sparre-Andersen dual model. Insurance: Mathematics and Economics, 54(1), 28–40. https://doi.org/10.1016/j.insmatheco.2013.10.012
Tse, Y. (2009). Ruin theory. In Nonlife Actuarial Models: Theory, Methods and Evaluation (International Series on Actuarial Science, pp. 143-168). Cambridge: Cambridge University Press. doi:10.1017/CBO9780511812156.009
Baxter, N. D. (1967). LEVERAGE, RISK OF RUIN AND THE COST OF CAPITAL. The Journal of Finance, 22(3), 395–403. https://doi.org/10.1111/j.1540-6261.1967.tb02975.x
B¨uhlmann, H., 1970. Mathematical Methods in Risk Theory. Springer-Verlag, Berlin, Heidelberg, New York.
Castañer, A., Claramunt, M. M., Gathy, M., Lefèvre, C., & Mármol, M. (2013). Ruin problems for a discrete time risk model with non-homogeneous conditions. Scandinavian Actuarial Journal, (2), 83–102. https://doi.org/10.1080/03461238.2010.546144
Dickson, D. C. M. (2005). Insurance risk and ruin. Insurance Risk and Ruin (pp. 1–229). Cambridge University Press. https://doi.org/10.1017/CBO9780511624155
Gerber, H. U., & Shiu, E. S. W. (1998). On the time value of ruin. North American Actuarial Journal, 2(1), 48–72. https://doi.org/10.1080/10920277.1998.10595671
Klugman, S. A., Panjer, H. H., & Willmot, G. E. (2019). Loss models: from data to decisions, 5th edition. John Wiley & Sons.
Li, S., & Sendova, K. P. (2013). The finite-time ruin probability under the compound binomial risk model. European Actuarial Journal, 3(1), 249–271. https://doi.org/10.1007/s13385-013-0063-y
Yang, C., & Sendova, K. P. (2014). The ruin time under the Sparre-Andersen dual model. Insurance: Mathematics and Economics, 54(1), 28–40. https://doi.org/10.1016/j.insmatheco.2013.10.012
Tse, Y. (2009). Ruin theory. In Nonlife Actuarial Models: Theory, Methods and Evaluation (International Series on Actuarial Science, pp. 143-168). Cambridge: Cambridge University Press. doi:10.1017/CBO9780511812156.009
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Published
2022-12-07
How to Cite
[1]
Sri Dewi Anugrawati, “Application of Aggregate Loss Models and Ruin Theory in Determining the Probability of Ruin”, MSA, vol. 10, no. 2, pp. 73–78, Dec. 2022.
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