RT - Journal Article
T1 - Infinite Time Ruin Probability in the Risk Model of Excess Loss Reinsurance
JF - JSS
YR - 2022
JO - JSS
VO - 16
IS - 1
UR - http://jss.irstat.ir/article-1-760-en.html
SP - 41
EP - 62
K1 - Ruin Probability
K1 - Initial Increase
K1 - Excess Loss Reinsurance
K1 - Lindley Distribution.
AB - In this paper, the collective risk model of an insurance company with constant surplus initial and premium when the claims are distributed as Exponential distribution and process number of claims distributed as Poisson distribution is considered. It is supposed that the reinsurance is done based on excess loss, which in that insurance portfolio, the part of total premium is the share of the reinsurer. A general formula for computing the infinite time ruin probability in the excess loss reinsurance risk model is presented based on the classical ruin probability. The random variable of the total amount of reinsurer's insurer payment in the risk model of excess loss reinsurance is investigated and proposed explicit formulas for calculating the infinite time ruin probability in the risk model of excess loss reinsurance. Finally, the results are examined for Lindley and Exponential distributions with numerical data.
LA eng
UL http://jss.irstat.ir/article-1-760-en.html
M3 10.52547/jss.16.1.41
ER -