Insurance and Risk Theory

Canadian financial institutions have been in rapid change in the past five years. In response to these changes, the Department of Finance issued a discussion paper: The Regulation of Canadian Financial Institutions, in April 1985, and the government intends to introduce legislation in the fall. This...

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Bibliographic Details
Other Authors: Goovaerts, Marc (Editor), De Vylder, F. Etienne (Editor), Haezendonck, J. (Editor)
Format: eBook
Language:English
Published: Dordrecht Springer Netherlands 1986, 1986
Edition:1st ed. 1986
Series:Nato Science Series C:, Mathematical and Physical Sciences
Subjects:
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Description
Summary:Canadian financial institutions have been in rapid change in the past five years. In response to these changes, the Department of Finance issued a discussion paper: The Regulation of Canadian Financial Institutions, in April 1985, and the government intends to introduce legislation in the fall. This paper studi.es the combinantion of financial institutions from the viewpoint of ruin probability. In risk theory developed to describe insurance companies [1,2,3,4,5J, the ruin probability of a company with initial reserve (capital) u is 6 1 -:;-7;;f3 u 1jJ(u) = H6 e H6 (1) Here,we assume that claims arrive as a Poisson process, and the claim amount is distributed as exponential distribution with expectation liS. 6 is the loading, i.e., premium charged is (1+6) times expected claims. Financial institutions are treated as "insurance companies": the difference between interest charged and interest paid is regarded as premiums, loan defaults are treated as claims
Physical Description:XII, 488 p online resource
ISBN:9789400946200