Actuarial Science Seminar: Compatibility of the classical ruin model and real data

In this talk, we will discuss the classical ruin model that describes the surplus process of an insurance company and will consider fitting it to insurance data. Using real-world data, we discover that the purchasing process of an insurance policy as well as the corresponding claim process have seasonal fluctuations. Some special events, such as public holidays, also have impact on these processes. A preliminary analysis of the impact of these patterns on the surplus process is also conducted. As a result, we propose a ruin model that would reflect the specific features of the data.