Discrete-Time Risk Model With Time-Varying Premiums: Analysis of Ruin Probabilities

IF 1.5 4区数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Applied Stochastic Models in Business and Industry Pub Date : 2024-12-27 DOI:10.1002/asmb.2915

Dhiti Osatakul, Shuanming Li, Xueyuan Wu

引用次数: 0

Abstract

Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for up to two time periods, representing real-world insurance practices. We examine a premium principle based on reported claims, using recursively computable finite-time ruin probabilities to evaluate the performance of time-varying premiums. Our findings suggest that, under specific assumptions, a higher probability of by-claim settlement delays leads to lower ruin probabilities. Moreover, a stronger correlation between main claims and their associated by-claims results in higher ruin probabilities.

查看原文本刊更多论文

具有时变溢价的离散时间风险模型：破产概率分析

本文探讨了具有时变保费的离散时间风险模型，研究了两种类型的相关索赔：主索赔和副索赔。索赔的结算最多可以延迟两个时间段，这代表了现实世界的保险实践。我们研究了基于报告索赔的保费原则，使用递归可计算的有限时间破产概率来评估时变保费的表现。我们的研究结果表明，在特定的假设下，较高的索赔和解延迟概率导致较低的破产概率。此外，主债权和附属债权之间的相关性越强，破产概率就越高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Applied Stochastic Models in Business and Industry 数学-数学跨学科应用

CiteScore

2.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： ASMBI - Applied Stochastic Models in Business and Industry (formerly Applied Stochastic Models and Data Analysis) was first published in 1985, publishing contributions in the interface between stochastic modelling, data analysis and their applications in business, finance, insurance, management and production. In 2007 ASMBI became the official journal of the International Society for Business and Industrial Statistics (www.isbis.org). The main objective is to publish papers, both technical and practical, presenting new results which solve real-life problems or have great potential in doing so. Mathematical rigour, innovative stochastic modelling and sound applications are the key ingredients of papers to be published, after a very selective review process. The journal is very open to new ideas, like Data Science and Big Data stemming from problems in business and industry or uncertainty quantification in engineering, as well as more traditional ones, like reliability, quality control, design of experiments, managerial processes, supply chains and inventories, insurance, econometrics, financial modelling (provided the papers are related to real problems). The journal is interested also in papers addressing the effects of business and industrial decisions on the environment, healthcare, social life. State-of-the art computational methods are very welcome as well, when combined with sound applications and innovative models.