Ruin Calculation
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See also: ModelRisk functions and windows, Vose Depletion
The Ruin Calculation models scenarios for the cash flow that comes with an insurance policy: the available funds are decreased by payment events of random size that occur randomly in time, and increased by selling policies of fixed size.
A time horizon is set, and Ruin Calculation models wether or not we have a Ruin (i.e. funds dropping below zero within the time horizon).
A dividend threshold can be set. When the budget exceeds this threshold, a dividend is paid out, and the available funds remain at the same threshold level.
The discount rate at which the value of the funds decreases over time can be set. This discount rate is taken into account when calculating the Net Present Value (NPV) of the policy in this scenario (i.e. the total dividend we have).
To see the output functions of this window, click here .
In the Source data region, you can set the following quantities, as described above:
Claim Interval - a discrete distribution object.
Claim size - a continuous distribution object.
Initial reserve - the funds available at point zero in time. This should be a real number greater than zero.
PolicyPrice - the income generated by selling an individual policy. This should be a real number greater than zero.
Horizon - the time horizon against which to compare whether a ruin event occurs or not.
DividendTreshold - The level of funds above which they are used for dividend.
DiscountRate - The rate (in fraction-of-total per time unit) at which the value of the funds/dividends decreases over time. This should be a real number greater than or equal to one. (it is typically a small number).
The graph displays the time (horizontal axis), fund level (left vertical
axis), dividends paid (right vertical axis), dividend threshold (horizontal
red line), fund level at every point in time (black curve with dots for
every funds-altering event) and time horizon (green vertical line).
For explanations about other fields, buttons, graphs and summary statistics tables in this window, see Common elements of ModelRisk windows.
See also: Graphics, workflow and error handling in ModelRisk
The output of ModelRisk windows always corresponds to VoseFunctions (the functions ModelRisk adds to Excel) being entered into one or more spreadsheet cells.
You can always re-open the window for a ModelRisk function that is in a spreadsheet cell by using View Function. Select the spreadsheet cell and then select View Function from the ModelRisk menu/toolbar/ribbon.
