RT - Journal Article
T1 - Finite Time Ruin Probability in the Collective Risk Model using Continuous Time Markov Chain
JF - khu-mmr
YR - 2023
JO - khu-mmr
VO - 9
IS - 4
UR - http://mmr.khu.ac.ir/article-1-3269-en.html
SP - 24
EP - 48
K1 - Collective risk model
K1 - Continuous time Markov process
K1 - Finite time ruin probability
K1 - Probability transformation
K1 - Risk process.
AB - The ability of insurers to pay claims is one of the most important issues in the management of insurance companies. In this paper, the collective risk model of insurance company with constant premium and compound Poisson process over a period of time is considered. For a general class of claim sizes with light tailed and heavy tailed distributions, a formula for computing the finite time ruin probability is obtained using the probability transformation, then the matrix form of the presented formula by the transformation matrix and continuous time Markov chain generating matrix is rewritten. Also, using simulation paths from the risk process for claim sizes with Exponential, Normal and Pareto distributions with different values of initial reserve at the different times, in addition to compute the finite time ruin probabilities and unbiased confidence intervals, their values estimated for transformation matrix and Markov chain generating matrix.
LA eng
UL http://mmr.khu.ac.ir/article-1-3269-en.html
M3
ER -