On a Risk Model With Dual Seasonalities
- 6 July 2022
- journal article
- research article
- Published by Taylor & Francis in North American Actuarial Journal
- Vol. 27 (1) , 166-184
Abstract
We consider a risk model where both the premium income and the claim process have seasonal fluctuations. We obtain the probability of ruin based on the simulation approach presented in Morales. We also discuss the conditions that must be satisfied for this approach to work. We give both a numerical example that is based on a simulation study and an example using a real-life auto insurance data set. Various properties of this risk model are also discussed and compared with the existing literature.Keywords
Funding Information
- Compute Canada
This publication has 12 references indexed in Scilit:
- Inventories and the automobile marketThe RAND Journal of Economics, 2011
- Properties of Distortion Risk MeasuresMethodology and Computing in Applied Probability, 2008
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processesScandinavian Actuarial Journal, 2006
- On A Surplus Process Under A Periodic EnvironmentNorth American Actuarial Journal, 2004
- On the Time Value of RuinNorth American Actuarial Journal, 1998
- Simulation of Ruin Probabilities for Subexponential ClaimsASTIN Bulletin, 1997
- Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's InequalityMathematics of Operations Research, 1994
- Trend analysis and prediction procedures for time nonhomogeneous claim processesInsurance: Mathematics and Economics, 1994
- Risk theory in a Markovian environmentScandinavian Actuarial Journal, 1989
- Empirical bounds for ruin probabilitiesStochastic Processes and their Applications, 1979