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Infinite Time Ruin Probability in the Individual Risk Model with Dependent Structure for Light and Heavy Tailed Distributions
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Abouzar Bazyari *  |
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Abstract: (389 Views) |
| In this paper, the individual risk model of the insurance company with dependent claims is considered and assumes that the binary vector of random variables of claim sizes is independent. Also, they have a common joint distribution function. A recursive formula for infinite time ruin probability is obtained according to the initial reserve and joint probability density function of random variables of claim sizes using probability inequalities and the induction method. Some numerical examples and simulation studies are presented for checking the results related to the light-tailed bivariate Poisson, heavy-tailed Log-Normal and Pareto distributions. The results are compared for Farlie–Gambel–Morgenstern and bivariate Frank copula functions. The effect of claims with heavy-tailed distributions on the ruin probability is also investigated. |
Article number: 4 |
| Keywords: Bivariate Poisson distribution, Farlie–Gambel–Morgenstern copula function, Individual risk model, Infinite time ruin probability, Light and heavy tailed distributions |
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Full-Text [PDF 262 kb]
(191 Downloads)
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Type of Study: Research |
Subject:
Probabilty and Applications
Received: 2022/04/1 | Accepted: 2023/03/1 | Published: 2022/12/21
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