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:: Volume 6, Issue 1 (8-2012) ::
J. of Stat. Sci. 2012, 6(1): 21-37 Back to browse issues page
Ruin Probability of Individual Risk Process of Insurance Company with Dependent Claims
Abouzar Bazyari
Abstract:   (22112 Views)
In the individual risk processes of an insurance company with dependent claim sizes, determination of the ruin probability and time to ruin are very important. Exact computing of theses probabilities, because of it's complex structure, is not easy. In this paper, Monte Carlo simulation method is used to obtain the ruin probabilities estimates, times to ruin and confidence interval for the ruin probability estimates of the mentioned process for different dependence level of claims. In this simulation the multivariate Frank copula function and Marshall and Olkin's algorithm are provided to generate the dependent claims. Then it has shown that with increasing the dependence level of claim sizes the ruin probability of the risk process increases, while its time to ruin decreases
Keywords: Ruin Probability, Marshall and Olkin\'s Algorithm, Frank Copula Function, Individual Risk Process
Full-Text [PDF 565 kb]   (5249 Downloads)    
Type of Study: Research | Subject: Applied Statistics
Received: 2012/10/9 | Accepted: 2013/08/4 | Published: 2013/08/4
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Bazyari A. Ruin Probability of Individual Risk Process of Insurance Company with Dependent Claims. J. of Stat. Sci.. 2012; 6 (1) :21-37
URL: http://jss.irstat.ir/article-1-143-en.html

Volume 6, Issue 1 (8-2012) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences
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