Risk Theory in a Finite Customer-Pool Setting

Abstract

This paper investigates an insurance model with a finite number of major clients and a large number of small clients, where the dynamics of the latter group are modeled by a spectrally positive Levy process. We begin by analyzing this general model, in which the inter-arrival times´ are exponentially distributed (though not identically), and derive the closed-form Laplace transform of the ruin probability. Next, we examine a simplified version of the model involving only the major clients, and explore the tail asymptotics of the ruin probability, focusing on the cases where the claim sizes follow phase-type or regularly varying distributions. Finally, we derive the distribution of the overshoot over an exponentially distributed initial reserve, expressed in terms of its Laplace-Stieltjes transform.