Researchers from University of Lausanne Detail Findings in Applied Probability Research (Finite-time Ruin Probabilities Under Large-claim Reinsurance Treaties for Heavy-tailed Claim Sizes)

2020 AUG 21 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- Fresh data on Mathematics - Applied Probability Research are presented in a new report. According to news reporting originating from Lausanne, Switzerland, by NewsRx correspondents, research stated, “We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that therlargest claims are (partly) reinsured. We show that for regularly varying claim sizes the probability of ruin after reinsurance is also regularly varying in terms of the initial capital, and derive an explicit asymptotic expression for the latter.”

Financial supporters for this research include Swiss National Science Foundation Project, NWO VICI grant of the Dutch Science Foundation.

Our news editors obtained a quote from the research from the University of Lausanne, “We establish this result by leveraging recent developments on sample-path large deviations for heavy tails. Our results allow, on the asymptotic level, for an explicit comparison between two well-known large-claim reinsurance contracts, namely LCR and ECOMOR.”

According to the news editors, the research concluded: “Finally, we assess the accuracy of the resulting approximations using state-of-the-art rare event simulation techniques.”

For more information on this research see: Finite-time Ruin Probabilities Under Large-claim Reinsurance Treaties for Heavy-tailed Claim Sizes. Journal of Applied Probability, 2020;57(2):513-530. Journal of Applied Probability can be contacted at: Cambridge Univ Press, Edinburgh Bldg, Shaftesbury Rd, CB2 8RU Cambridge, England.

The news editors report that additional information may be obtained by contacting Hansjorg Albrecher, University of Lausanne, Faculty of Business and Economics, Dept. of Actuarial Science, Ch-1015 Lausanne, Switzerland. Additional authors for this research include Eleni Vatamidou, Bohan Chen and Bert Zwart.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1017/jpr.2020.8. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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