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:: Volume 17, Issue 1 (9-2023) ::
JSS 2023, 17(1): 0-0 Back to browse issues page
Optimal Ruin Probabilities in the Excess Loss Reinsurance Model
Abouzar Bazyari *
Abstract:   (749 Views)
In the excess loss reinsurance risk model, the amount of insurance premium paid by the company is influential in the ruin of that company. In this paper, the premium function is presented based on the expected amount of total payments of the reinsurer to the assigning insurer, the constraint on this function is investigated, and for the claims with any arbitrary distribution, the contour plots are drawn and with presenting optimization algorithm, infinite time ruin probability function will be minimum for different values of initial capital and threshold value. Finally, the excess loss reinsurance risk model with non-exponential claims is considered, and the infinite time ruin probability is calculated with numerical examples. 
Keywords: Contour plot, Excess loss reinsurance model, Optimization algorithm, Premium function, Ruin probability.
Full-Text [PDF 639 kb]   (483 Downloads)    
Type of Study: Research | Subject: Probabilty and Applications
Received: 2022/07/24 | Accepted: 2023/09/1 | Published: 2023/07/11
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Bazyari A. Optimal Ruin Probabilities in the Excess Loss Reinsurance Model. JSS 2023; 17 (1)
URL: http://jss.irstat.ir/article-1-810-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 17, Issue 1 (9-2023) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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