Bulletin Français d'Actuariat
Bulletin n°31 / vol. 16 / Janvier 2016 - Juin 2016 Le BFA sur internet
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Closed-form and numerical computations of actuarial indicators in ruin theory and claim reserving

BROUSTE A.; DUTANG C.


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Insurance reserving is a key topic for both actuaries and academics. In the present paper, we present an efficient way to compute all the key indicators in a unified approach of the ruin theory and claim reserving methods. The proposed framework allows to derive closed-form formulas for both ruin theory and claim reserves indicators. A numerical illustration of these indicators is carried out on a real dataset from a private insurer.