Probability of ruin for a risk process with claims cost inflation |
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| Authors: | Howard R Waters |
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| Institution: | Department of Actuarial Mathematics and Statistics , University of Copenhagen and Heriot-Watt University , Riccarton Currie , Edinburgh , EHI4 4AS , Scotland |
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| Abstract: | Abstract This paper has been inspired by a very interesting article by Taylor (1979) in which he considered the effect of claims cost inflation on a compound Poisson risk process. The present paper divides naturally into two parts. In the first part we show, under very general conditions, that if claims costs are increasing and if the premiums are increasing at the same rate then ultimate ruin is certain for the risk process. In the second part we try to determine how fast the premiums should increase in order that ultimate ruin should not be certain for such a risk process. |
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