Contents
Who discovered ruin theory?
actuary Filip Lundberg
The theoretical foundation of ruin theory, known as the Cramér–Lundberg model (or classical compound-Poisson risk model, classical risk process or Poisson risk process) was introduced in 1903 by the Swedish actuary Filip Lundberg. Lundberg’s work was republished in the 1930s by Harald Cramér.
What are ruin probabilities?
Risk of ruin is the probability that an individual will lose substantial amounts of money through investing, trading, or gambling—to the point where it is no longer possible to recover the losses or continue.
How is ruin probability a classical risk measures explain?
Considering classical risk processes, also the ruin probabilities in infinite time converge to the ruin probability in infinite time of the diffusion process. The diffusion process is then considered as a approximation to the original risk model. )p−α(p − 1)n) for the number of claims in a certain time interval.
What is collective risk model?
In the collective risk model, the random sum. (18.24) represents the aggregate claims generated by the portfolio for the period under study. The number of claims is a random variable and is associated with the frequency of claim.
What is payoff ratio?
The payoff ratio is defined as the average winner per trade divided by the average loser per trade for a trading system. The higher the payoff ratio the better the trading system performs.
What is collective risk insurance?
Collective risk is the total risk to all individuals exposed to any hazard from a launch. Risk profiles can be used to establish the amount of insurance an operator should carry, as discussed in Chapter 9.
What is individual risk model?
In the individual risk model, the total claims on a portfolio of insurance contracts is the random variable of interest. The total claims is modelled as the sum of all claims on the individual policies, which are assumed independent. We study other techniques than convolution to obtain results in this model.