https://orcid.org/0000-0002-8619-439X
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Abstract
We consider a risk model where both the premium income and the claim process have seasonal fluctuations. We obtain the probability of ruin based on the simulation approach presented in Morales. We also discuss the conditions that must be satisfied for this approach to work. We give both a numerical example that is based on a simulation study and an example using a real-life auto insurance data set. Various properties of this risk model are also discussed and compared with the existing literature.
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Additional information
Funding
This research was enabled in part by support provided by Compute Ontario (www.computeontario.ca) and Compute Canada (www.computecanada.ca), RRG ID 2070. Support from the Natural Sciences and Engineering Research Council of Canada for this work is gratefully acknowledged by Kristina Sendova and Bruce Jones.