Seminar by Dr Xueyuan Shane Wu
- Topic: On a discrete-time risk model with claim correlated premiums
- Speaker: Dr Xueyuan Shane Wu, Senior Lecturer, Centre for Actuarial Studies, The University of Melbourne
- Venue:E4A 623
- When: 8th November, 2013, (Fri)
- Time: 11.30am - 12.30pm (Morning Tea from 11am)
This paper proposes a discrete-time risk model that has a centain type of correlation between premiums and claim amounts. It is motivated by the well-known No Claims Discount system or bonus-malus system in the car insurance industry. Such a system penalises policyholders at fault in accidents by surcharges, and rewards claim-free years by discounts. For simplicity, only two levels of premium are considered in the given model and recursive formulae are derived for its ultimate ruin probabilities. Then the impact of the proposed correlation on ruin probabilities is examined through numerical examples. At last, the joint probability of ruin and deficit at ruin is also considered.
View the full paper "On a discrete-time risk model with claim correlated premiums" (PDF)