<abstract xmlns="http://www.w3.org/1999/xhtml"><p> Recently, nonhomogeneous claim sizes have been considered in the actuarial literature starting from the fact that the claims are seasonally influenced by the economic environment. In this context, Raducan et al. [8] obtained recursive formulas for the ruin probability at or before claim instants, and stated a conjecture that relates the order of the claims arrival to the magnitude of the corresponding ruin probability, conjecture supported by numerical examples. In this paper, we prove this conjecture in a particular case.</p></abstract>

Recently, nonhomogeneous claim sizes have been considered in the actuarial literature starting from the fact that the claims are seasonally influenced by the economic environment. In this context, Raducan et al. [8] obtained recursive formulas for the ruin probability at or before claim instants, and stated a conjecture that relates the order of the claims arrival to the magnitude of the corresponding ruin probability, conjecture supported by numerical examples. In this paper, we prove this conjecture in a particular case.

On a conjecture related to the ruin probability for nonhomogeneous insurance claims

Faculty of Mathematics and Computer Science, “Ovidius” University of Constanta, 124 Mamaia Blvd., 900527 Constanta, Romania

Institute for Mathematical Statistics and Applied Mathematics, Calea 13 Septembrie 13, 050711 Bucharest,

Analele ştiinţifice ale Universităţii "Ovidius" Constanţa. Seria Matematică

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Recently, nonhomogeneous claim sizes have been considered in the actuarial literature starting from the fact that the claims are seasonally influenced by the...

On a conjecture related to the ruin probability for nonhomogeneous insurance claims

Publié en ligne: 22 avr. 2017

Pages: 209 - 220

Reçu: 01 oct. 2014

Accepté: 01 févr. 2015

DOI: https://doi.org/10.1515/auom-2015-0056

Mots clés
continuous time surplus (risk) process, ruin probability, nonhomogeneous claim sizes, exponential distribution

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

On a conjecture related to the ruin probability for nonhomogeneous insurance claims

Publié en ligne: 22 avr. 2017

Pages: 209 - 220

Reçu: 01 oct. 2014

Accepté: 01 févr. 2015

DOI: https://doi.org/10.1515/auom-2015-0056

Mots cléscontinuous time surplus (risk) process, ruin probability, nonhomogeneous claim sizes, exponential distribution

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
continuous time surplus (risk) process, ruin probability, nonhomogeneous claim sizes, exponential distribution