On real growth and run-off companies in insurance ruin theory

TL;DR

This paper investigates how real growth and run-off scenarios influence the long-term solvency and ruin probabilities of insurance companies within a comprehensive economic model.

Contribution

It provides sharp asymptotic estimates for ruin probabilities considering real growth effects and run-off conditions in insurance companies.

Findings

Asymptotic ruin probability estimates are derived for various economic scenarios.

Real growth significantly impacts long-term solvency risk.

Run-off companies exhibit distinct ruin probability behaviors.

Abstract

We study solvency of insurers in a comprehensive model where various economic factors affect the capital developments of the companies. The main interest is in the impact of real growth to ruin probabilities. The volume of the business is allowed to increase or decrease. In the latter case, the study is focused on run-off companies. Our main results give sharp asymptotic estimates for infinite time ruin probabilities.