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Computing ruin probability and minimum initial capital by simulation |
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| รหัสดีโอไอ | |
| Creator | 1. Pawat Paksaranuwat 2. Samruam Chongcharoen |
| Title | Computing ruin probability and minimum initial capital by simulation |
| Publisher | Research and Development Office, Prince of Songkla University |
| Publication Year | 2017 |
| Journal Title | Songklanakarin Journal of Science and Technology (SJST) |
| Journal Vol. | 39 |
| Journal No. | 4 |
| Page no. | 439 |
| Keyword | risk theory,surplus process,claim process,infinite time,insurance |
| ISSN | 0125-3395 |
| Abstract | In this paper, we propose a new approximation method to obtain the ruin probability by modifying the PollaczekKhinchinapproximation. The proposed approximation is simpler and requires fewer assumptions than other methodsmentioned in the literature. The results from a simulation study show that, in some cases, the proposed method gave betterruin probability values in terms of the overall deviation from the exact values. Insurance companies are interested incalculating the initial capital by using ruin probability and so, with this in mind, we applied the proposed method to estimatethe minimum initial capital that must be reserved to ensure that the ruin probability does not exceed an acceptable quantity.To illustrate the performance of our approximation, we estimated the ruin probability and the minimum initial capital withreal data from an insurance company. |
