{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T19:08:39Z","timestamp":1771614519992,"version":"3.50.1"},"reference-count":12,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2013,8,9]],"date-time":"2013-08-09T00:00:00Z","timestamp":1376006400000},"content-version":"unspecified","delay-in-days":1196,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["ASTIN Bull."],"published-print":{"date-parts":[[2010,5]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>The probability of ruin in continuous and finite time is numerically evaluated in a classical risk process where the premium can be updated according to credibility models and therefore change from year to year. A major consideration in the development of this approach is that it should be easily applicable to large portfolios. Our method uses as a first tool the model developed by Afonso <jats:italic>et al.<\/jats:italic> (2009), which is quite flexible and allows premiums to change annually. We extend that model by introducing a credibility approach to experience rating.<\/jats:p><jats:p>We consider a portfolio of risks which satisfy the assumptions of the B\u00fchlmann (1967, 1969) or B\u00fchlmann and Straub (1970) credibility models. We compute finite time ruin probabilities for different scenarios and compare with those when a fixed premium is considered.<\/jats:p>","DOI":"10.2143\/ast.40.1.2049236","type":"journal-article","created":{"date-parts":[[2010,6,4]],"date-time":"2010-06-04T14:32:54Z","timestamp":1275661974000},"page":"399-414","source":"Crossref","is-referenced-by-count":9,"title":["Numerical Evaluation of Continuous Time Ruin Probabilities for a Portfolio with Credibility Updated Premiums"],"prefix":"10.1017","volume":"40","author":[{"given":"Lourdes B.","family":"Afonso","sequence":"first","affiliation":[]},{"given":"Alfredo D. Eg\u00eddio dos","family":"Reis","sequence":"additional","affiliation":[]},{"given":"Howard R.","family":"Waters","sequence":"additional","affiliation":[]}],"member":"56","published-online":{"date-parts":[[2013,8,9]]},"reference":[{"key":"S0515036100000532_ref003","volume-title":"On the ruin problem for some adapted premium rules","author":"Asmussen","year":"1999"},{"key":"S0515036100000532_ref010","first-page":"131","article-title":"Probabilit\u00e9 de ruine lorsque le param\u00e8tre de Poisson est ajust\u00e9 a posteriori","volume":"77","author":"Dubey","year":"1977","journal-title":"Mitteilungender Vereinigung Schweizerischer Versicherungsmathematiker"},{"key":"S0515036100000532_ref011","doi-asserted-by":"publisher","DOI":"10.1080\/03461238.1979.10413721"},{"key":"S0515036100000532_ref013","unstructured":"Tsai C. and Parker G. (2004) Ruin probabilities: classical versus credibility, 2004 NTU International Conference on Finance."},{"key":"S0515036100000532_ref006","volume-title":"A Course in Credibility Theory and its Applications","author":"B\u00fchlmann","year":"2005"},{"key":"S0515036100000532_ref005","doi-asserted-by":"publisher","DOI":"10.1017\/S0515036100008023"},{"key":"S0515036100000532_ref007","first-page":"111","volume-title":"Glaubw\u00fcrdigkeit f\u00fcr Schadens\u00e4tze, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker","volume":"1970","author":"B\u00fchlmann","year":"1970"},{"key":"S0515036100000532_ref004","doi-asserted-by":"publisher","DOI":"10.1017\/S0515036100008989"},{"key":"S0515036100000532_ref002","doi-asserted-by":"publisher","DOI":"10.2143\/AST.39.1.2038059"},{"key":"S0515036100000532_ref009","volume-title":"Practical Risk Theory for Actuaries","author":"Daykin","year":"1996"},{"key":"S0515036100000532_ref012","unstructured":"Trufin J. and Loisel S. (2009) Ultimate ruin probability in discrete time with B\u00fchlmann credibility premium adjustments, Working paper. Available at http:\/\/hal.archives-ouvertes.fr\/hal-00426790\/en\/."},{"key":"S0515036100000532_ref001","unstructured":"Afonso L.B. (2008) Evaluation of ruin probabilities forsurplus processes with credibility and surplus dependent premiums. PhD thesis, ISEG, Lisbon."}],"container-title":["ASTIN Bulletin"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0515036100000532","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,28]],"date-time":"2019-04-28T19:59:16Z","timestamp":1556481556000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0515036100000532\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,5]]},"references-count":12,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2010,5]]}},"alternative-id":["S0515036100000532"],"URL":"https:\/\/doi.org\/10.2143\/ast.40.1.2049236","relation":{},"ISSN":["0515-0361","1783-1350"],"issn-type":[{"value":"0515-0361","type":"print"},{"value":"1783-1350","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,5]]}}}