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arXiv · 2308.12769

Bankruptcy probabilities under non-Poisson inspection

Florine Kuipers·Michel Mandjes·Sara Morcy
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Abstract

This paper concerns an insurance firm's surplus process observed at renewal inspection times, with a focus on assessing the probability of the surplus level dropping below zero. For various types of inter-inspection time distributions, an explicit expression for the corresponding transform is given. In addition, Cram\'er-Lundberg type asymptotics are established. Also, an importance sampling based Monte Carlo algorithm is proposed, and is shown to be logarithmically efficient.

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Florine Kuipers, Michel Mandjes, Sara Morcy. 2023-08-24. Bankruptcy probabilities under non-Poisson inspection. https://doi.org/10.1017/apr.2025.2

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