On the Bankruptcy Risk of Insurance Companies (notice n° 166215)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01259cam a2200169 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112034008.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Le Courtois, Olivier |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | On the Bankruptcy Risk of Insurance Companies |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2013.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 63 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The fall of AIG proved that the insurance business is not immune to bankruptcy, contrary to the actuarial literature which postulates that insurance firms can survive forever. In this article we model the surplus process of an insurance firm firstly by a stable Lévy process, secondly by a double exponential compound Poisson process. We compute finite-time survival and bankruptcy probabilities under such hypotheses. To achieve this, we make use of the Wiener-Hopf factorization and compute bankruptcy formulas written in terms of inverse Laplace transforms. The Abate and Whitt, and Gaver-Stehfest algorithms are used to obtain numerical estimations. This article can be viewed as an illustration of a general approach to the bankruptcy of financial institutions. |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Randrianarivony, Rivo |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | 34 | 1 | 2013-06-11 | p. 43-72 | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-finance-2013-1-page-43?lang=en">https://shs.cairn.info/journal-finance-2013-1-page-43?lang=en</a> |
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