Generalized life insurance: Ruin probabilities

E. Frostig; S. Haberman; B. Levikson

doi:10.1080/03461230110106390

Generalized life insurance: Ruin probabilities

E. Frostig, S. Haberman, B. Levikson

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	136-152
Number of pages	17
Journal	Scandinavian Actuarial Journal
Volume	2003
Issue number	2
DOIs	https://doi.org/10.1080/03461230110106390
State	Published - 1 Jan 2003

Keywords

Life insurance
Ltc
Probability of ruin

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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10.1080/03461230110106390

Cite this

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Generalized life insurance: Ruin probabilities

Abstract

Keywords

ASJC Scopus subject areas

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