Year: 2025
Type: article
Abstract: This paper concerns an insurance firm’s surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an explicit expression for the corresponding transform is given. In addition, Cramér–Lundberg-type asymptotics are established. Also, an importance sampling-based Monte Carlo algorithm is proposed, and is shown to be logarithmically efficient.
Source: Advances in Applied Probability
DOI: 10.1017/apr.2025.2
Authors: Florine Kuipers, Michel Mandjes, Sara Morcy
Institutions: University of Amsterdam, Leiden University
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4408632621