Study Findings from Lodz University of Technology Provide New Insights into Applied Probability Research (Finite-horizon Ruin Probabilities In a Risk-switching Sparre Andersen Model)

2020 DEC 23 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Fresh data on Mathematics - Applied Probability Research are presented in a new report. According to news reporting originating in Lodz, Poland, by NewsRx journalists, research stated, “After implementation of Solvency II, insurance companies can use internal risk models. In this paper, we show how to calculate finite-horizon ruin probabilities and prove for them new upper and lower bounds in a risk-switching Sparre Andersen model.”

Funders for this research include National Science Centre, Poland, National Science Centre, Poland.

The news reporters obtained a quote from the research from the Lodz University of Technology, “Due to its flexibility, the model can be helpful for calculating some regulatory capital requirements. The model generalizes several discrete time- as well as continuous time risk models. A Markov chain is used as a ‘switch’ changing the amount and/or respective wait time distributions of claims while the insurer can adapt the premiums in response.”

According to the news reporters, the research concluded: “The envelopes of generalized moment generating functions are applied to bound insurer’s ruin probabilities.”

This research has been peer-reviewed.

For more information on this research see: Finite-horizon Ruin Probabilities In a Risk-switching Sparre Andersen Model. Methodology and Computing in Applied Probability, 2020;22(4):1493-1506. Methodology and Computing in Applied Probability can be contacted at: Springer, Van Godewijckstraat 30, 3311 Gz Dordrecht, Netherlands. (Springer - www.springer.com; Methodology and Computing in Applied Probability - http://www.springerlink.com/content/1387-5841/)

Our news correspondents report that additional information may be obtained by contacting Marcin Rudz, Lodz University of Technology, Institute for Mathematics, Wolczanska 215, Pl-90924 Lodz, Poland.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s11009-018-9627-2. 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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