Bankruptcy probabilities under non-Poisson inspection
Probability
2026-01-14 v1
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.
Keywords
Cite
@article{arxiv.2308.12769,
title = {Bankruptcy probabilities under non-Poisson inspection},
author = {Florine Kuipers and Michel Mandjes and Sara Morcy},
journal= {arXiv preprint arXiv:2308.12769},
year = {2026}
}