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On real growth and run-off companies in insurance ruin theory

Published online by Cambridge University Press:  19 September 2016

Harri Nyrhinen
Affiliation:
University of Helsinki
Corresponding

Abstract

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is allowed to increase or decrease. In the latter case, the study is focused on run-off companies. Our main results give sharp asymptotic estimates for infinite-time ruin probabilities.

Type
Research Article
Copyright
Copyright © Applied Probability Trust 2016 

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