Generalized life insurance: Ruin probabilities

E. Frostig, S. Haberman, B. Levikson

Research output: Contribution to journalArticlepeer-review


We study ruin probabilities for generalized life insurance programs. These programs include among others whole life and long term care contracts. Clearly, in such programs the claims in successive years are dependent, hence the structure of our problem is different from that of ruin probabilities in general insurance where claims over time are independent. First, we develop algorithms calculating the ruin probabilities for life and LTC insurance programs. Further, upper and lower bounds for these probabilities are derived. These new bounds take into account the joint distribution of claims over time.

Original languageEnglish
Pages (from-to)136-152
Number of pages17
JournalScandinavian Actuarial Journal
Issue number2
StatePublished - 1 Jan 2003


  • Life insurance
  • Ltc
  • Probability of ruin

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


Dive into the research topics of 'Generalized life insurance: Ruin probabilities'. Together they form a unique fingerprint.

Cite this