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Summary
The distribution of the risk reserve at time T conditional on ruin within time T is considered in Andersenīs collective risk model. Approximations for large initial capital and certain numerical results are presented.
The problem is motivated by the wish to get more insight in the procedure of insolvency which happens during time interval [0,T]. In particular, what would be the capital of a compay at the end of the accounting period if, once ruin has occurred, the insurerīs usual actives continue during this period, including the acceptance of new bussiness (a sort of going-concern philosophy). |
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Individual member of IAA and ASTIN
Leading research fellow at the Steklov Mathematical Institute of the Russian
Academy of Science and Head of the Laboratory of Actuarial Research of the
Finance Academy under the Government of the Russian Federation.
He published more than 40 research papers and taught courses in a number of
Russian universities, in the University of Copenhagen (twice) and in the University of Montreal.
His interests are in the limit theorems of the probability theory, in the theory of
random processes, in applied probability, in mathematical statistics of random
processes. His particular interests are in the Markov models, in the econometrical time series and in the risk theory.
He is active in business consulting which concerns the actuarial analysis
in the automobile and in the life insurance.
He produced and edited the Russian translations of 5 professional books among
which two books by J.Lemaire "Automobile Insurance: Actuarial Models",
"Bonus-malus systems in automobile insurance" and the book by N.Bowers,
H.Gerber, J.Hickman, D.Jones, C.Nesbitt "Actuarial Mathematics".
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