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On Approximating the Minimum Initial Capital of Fire Insurance with the Finite-time Ruin Probability using a Simulation Approach |
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| รหัสดีโอไอ | |
| Creator | 1. Supawan Khotama 2. Thotsaphon Thongjunthug 3. Kiat Sangaroon 4. Watcharin Klongdee |
| Title | On Approximating the Minimum Initial Capital of Fire Insurance with the Finite-time Ruin Probability using a Simulation Approach |
| Publisher | Research and Technology Transfer Affairs Division |
| Publication Year | 2558 |
| Journal Title | KKU Research Journal |
| Journal Vol. | 20 |
| Journal No. | 3 |
| Page no. | 267-271 |
| Keyword | ruin probability,insurance,minimum initial capital,surplus process |
| ISSN | 2465-3986 |
| Abstract | This paper considers the discrete time surplus process in the case of fire insurance given by U_0=u,U_n=U_(n-1)+cZ_n-Y_n, where {Y_n,n?1} is the claim severity process, {Z_n,n?1} is the inter-arrival process, c is the premium rate, and U_0=u?0 is the initial capital. The claim severities and the inter-arrival time are provided by the Thai Reinsurance Public Co., Ltd. In addition, we assume that {Y_n,n?1} and {Z_n,n?1} are independent and identically distributed, Y_n has Weibull distribution and Z_n has Poisson distribution. By using the maximum likelihood estimator method, we find that? Y?_n~Weibull(0.8484,30.5396) and Z_n~Poisson(37.8958). Finally, we approximate the finite-time ruin probability for one year by a simulation approach, and use the logarithmic regression to approximate the minimum initial capital corresponding to the quantities of risk ?=0.01 and 0.05, respectively. |
