Pré-Publication, Document De Travail Année : 2015

Ruin problem in a changing environment and application to the cost of climate change for an insurance company

Résumé

In this paper we obtain asymptotics for ruin probability in a risk model where claim size distribution as well as claim frequency change over time. This is a way to take into account observed and/or projected changes, due to climate change, in some specific weather-related events like tropical storms for instance. Some examples will be presented in order to illustrate the theory and start a discussion on the possible cost of climate change for an insurance company who wants to remain financially solvent.

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hal-01218442 , version 1 (21-10-2015)

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  • HAL Id : hal-01218442 , version 1

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Dominik Kortschak, Esterina Masiello, Pierre Ribereau. Ruin problem in a changing environment and application to the cost of climate change for an insurance company. 2015. ⟨hal-01218442⟩
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