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Summary
The distribution of the risk
reserve at time t conditional on ruin within time t is considered in Andersen s collective risk model. Approximations for large initial
capital and certain numerical results are presented.
The problem is motivated by the wish to get more insight on the consequences
of ruin during the time interval (0,t). In particular what would be the capital
of a company at the end of the accounting period if, once ruin has occurred, the
insurer s usual activities continued during this period, including the acceptance
of new business (a sort of going-concern philosophy) |
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Vsevolod Malinovskii, Ph.D., Dr.Sc., individual member of IAA and ASTIN.
Leading research fellow at the Steklov Mathematical Institute of the Russian Academy of Science and Head of the Laboratory of Actuarial Research of the Finance Academy under the Government of the Russian Federation.
He published more than 40 research papers and taught courses in a number of Russian universities, in the University of Copenhagen (twice) and in the University of Montreal.
His interests are in the limit theorems of the probability theory, in the theory of random processes, in applied probability, in mathematical statistics of random processes. His particular interests are in the Markov models, in the
econometrical time series and in the risk theory.
He is active in business consulting which concerns the actuarial analysis in the automobile and in the life insurance.
He produced and edited the Russian translations of 5 professional books among
which two books by J.Lemaire "Automobile Insurance: Actuarial Models",
"Bonus-malus systems in automobile insurance" and the book by N.Bowers,
H.Gerber, J.Hickman, D.Jones, C.Nesbitt "Actuarial Mathematics".
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