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December 4, 2014
AM Kabiri
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
AM Kabiri
AM Kabiri
AM Kabiri
AM Kabiri
AM Kabiri
AM Kabiri
AM Kabiri
AM Kabiri
AM Kabiri
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
AM Kabiri
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
Preliminaries
Ruin Theory
We consider the collective risk process
U (t, ) = + pt S(t)
AM Kabiri
Preliminaries
Ruin Theory
We consider the collective risk process
U (t, ) = + pt S(t)
where U (t, ) is the insurers surplus at time t, is the initial
N (t)
Xi as the
i =1
ith claim and N (t) as the number of claims on the interval (0, t]
and it follows a poisson process.
AM Kabiri
AM Kabiri
Ruin Theory
Suppose that N (t) = t. This assumption will only be valid if we
consider a group insurance and Xi be the total amount of claims
t
Xi where each
i =1
AM Kabiri
Ruin Theory
Suppose that N (t) = t. This assumption will only be valid if we
consider a group insurance and Xi be the total amount of claims
t
Xi where each
i =1
U ( T, ) = + pt Xi .
i =1
AM Kabiri
Definition
The time of ruin is defined as the event when the value of the
surplus is less than zero. Thus, it can be defined as
( ) = inf{t|U ( T, ) < 0}
where ( ) is the time of ruin with initial surplus .
AM Kabiri
Definition
Infinite-time ruin probability at time t with initial surplus is given
by
(, T ) = P( ( ) < ).
AM Kabiri
Definition
Infinite-time ruin probability at time t with initial surplus is given
by
(, T ) = P( ( ) < ).
Definition
Finite-time ruin probability at time t with initial surplus is given by
(, T ) = P( ( ) < T ).
AM Kabiri
Benefit Limit
Definition
Benefit limit is defined as the amount given to the insured if the
loss is greater than the limit. Otherwise, the original claim will be
given to the insured.
AM Kabiri
Pareto Distribution
Definition
A random variable X is said to follow the Pareto distribution with
parameters > 0 and > 0 if its distribution function F is given by
F(x) =
+x
+x
AM Kabiri
,x 0
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
Objectives
This research aims to:
AM Kabiri
Objectives
This research aims to:
1
AM Kabiri
Objectives
This research aims to:
1
AM Kabiri
Objectives
This research aims to:
1
Examine the behavior of the policy with benefit limit and the ruin
probability when the premium prices varies.
AM Kabiri
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
AM Kabiri
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
Methodology
To find a closed-form expression that will define the ruin probability
of an insurer with a policy contract that includes benefit limit with
Pareto distributed claims, we will
AM Kabiri
Methodology
To find a closed-form expression that will define the ruin probability
of an insurer with a policy contract that includes benefit limit with
Pareto distributed claims, we will
use the finite-time ruin probability
(, T ) = P( ( ) < T ).
AM Kabiri
Methodology
To find a closed-form expression that will define the ruin probability
of an insurer with a policy contract that includes benefit limit with
Pareto distributed claims, we will
use the finite-time ruin probability
(, T ) = P( ( ) < T ).
assume that the loss amount is Pareto distributed
AM Kabiri
Methodology
To find a closed-form expression that will define the ruin probability
of an insurer with a policy contract that includes benefit limit with
Pareto distributed claims, we will
use the finite-time ruin probability
(, T ) = P( ( ) < T ).
assume that the loss amount is Pareto distributed
construct a density function for the policy with benefit limit
AM Kabiri
Methodology
To find a closed-form expression that will define the ruin probability
of an insurer with a policy contract that includes benefit limit with
Pareto distributed claims, we will
use the finite-time ruin probability
(, T ) = P( ( ) < T ).
assume that the loss amount is Pareto distributed
construct a density function for the policy with benefit limit
find the ruin probability at times 1,2,3,4, and 5.
AM Kabiri
AM Kabiri
AM Kabiri
Preliminaries
Objectives
Methodology
Reference
AM Kabiri
AM Kabiri
AM Kabiri