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Journal Publication
Title of Article A NECESSARY CONDITION FOR LOWER FINITE-TIME RUIN PROBABILITY UNDER XL- REINSURANCE IN DISCRETE-TIME RISK PROCESSES WITH EXPONENTIAL CLAIMS 
Date of Acceptance 12 November 2014 
Journal
     Title of Journal Far East Journal of Mathematical Sciences (FJMS) 
     Standard SCOPUS 
     Institute of Journal University of Allahabad 
     ISBN/ISSN 0972-0871 
     Volume  
     Issue
     Month December
     Year of Publication 2014 
     Page 133-142 
     Abstract In this paper, we consider the discrete-time risk process in insurance in the case of excess-of-loss (XL-reinsurance) as the following: U_n (u,b)=u+nc(b)-∑_(k=1)^n min{b,Y_k } ,n=1,2,3 where {Y_n: n\in \mathbb{N}} is an independent and identically distributed claim process such that Y_n is a random variable indicating claim severity at time n, c(b) is a net income rate for one unit time with the retention level b of XL-reinsurance, and u>= is an initial capital. We obtain a necessary condition for reducing the finite-time ruin probability in the case of Y_n has an exponential distribution and c(b) is calculated by the expected value principle. To illustrate these results some numerical examples are included. 
     Keyword insurance, XL-reinsurance, risk process, ruin probability. 
Author
565020043-6 Miss WEENAKORN IEOSANURAK [Main Author]
Science Master's Degree

Reviewing Status มีผู้ประเมินอิสระ 
Status ตีพิมพ์แล้ว 
Level of Publication นานาชาติ 
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