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:: Volume 12, Issue 2 (3-2019) ::
J. of Stat. Sci. 2019, 12(2): 429-447 Back to browse issues page
A Realization of Using the Claims with Pareto Distribution in Risk Models of Insurance Company
Zahra Ranginian, Maede Behfrouz, Abouzar Bazyari *
Abstract:   (4322 Views)

In this paper, it is shown that using the cliams with Pareto distribution for computing the ruin probabilities could has detriment for the heads of insurance company. With computing the relative error of these cliams it is shown that the estimation of claims mean is not suitable in insurance models. We will show that existance of claims with Pareto distribution in the excess of loss reinsurance model may be detriment for the policyholders of company. Also in this portfolio, with computing the conditional expectation of claims measure show that using the claims with Pareto distribution is not suitable in the estimation of claims. The estimation of conditional expectation of random variable of claims is computed by simulation method for some of the statistical distributions. The results are investigated with real examples.

Keywords: Pareto Distribution, Risk Models, Ruin Probability, Simulation.
Full-Text [PDF 394 kb]   (839 Downloads)    
Type of Study: Applied | Subject: Applied Statistics
Received: 2016/10/29 | Accepted: 2018/06/25 | Published: 2018/10/17
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Ranginian Z, Behfrouz M, Bazyari A. A Realization of Using the Claims with Pareto Distribution in Risk Models of Insurance Company. J. of Stat. Sci.. 2019; 12 (2) :429-447
URL: http://jss.irstat.ir/article-1-503-en.html

Volume 12, Issue 2 (3-2019) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences
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