Asymptotic estimates of insurance tarifs in the individual risk model
type: Item
instance of: scholarly article
title: Asymptotic estimates of insurance tarifs in the individual risk model
zbMATH Open document ID: 0931.62091
DOI: 10.1007/BF02362292
author: S. Ya. Shorgin
published in: Journal of Mathematical Sciences (New York)
publication date: 1998-11-24T00:00:00Z
review text: The individual risk model is a model of insurance in which an insurance portfolio, i.e., the set of insurance contracts concluded simultaneously or during a rather short interval of time is considered; the insurance premiums are assembled during the formation of the insurance portfolio, and insurance events (accidents) may occur while the insurance contracts are valid, which result in insurance pay-offs (claims). One of the important problems that may be set within the framework of this model is the estimation of the insurance tariffs (premiums) ensuring given (usually close to 1) probability of the insurer's ``nonruin.'' In the present article, asymptotic estimates of tariffs that are least admissible for the insurer are obtained for the individual risk model under the conditions that an insurance premium and an insurance indemnity (claim) for each contract of the insurance portfolio are dependent random variables. The least admissible insurance tariffs are determined so that they provide the given lower bound of ``nonruin'' probability, i.e., probability that the sum of insurance portfolio claims will not exceed the sum of all insurance premiums included in the insurance fund and the initial capital related to the given portfolio.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 1213228
zbMATH Keywords: insurance tariffs
zbMATH Keywords: individual risk model
zbMATH Keywords: asymptotic estimates
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1213228