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             Publication
Journal Publication
Title of Article Approximating the ruin probability of finite-time surplus process with Adaptive Moving Total Exponential Least Square  
Date of Acceptance 13 July 2018 
Journal
     Title of Journal WSEAS transactions on business and economics  
     Standard SCOPUS 
     Institute of Journal World Scientific and Engineering Academy and Society (WSEAS) Press 
     ISBN/ISSN  
     Volume 15 
     Issue  
     Month
     Year of Publication 2018 
     Page  
     Abstract The adaptive moving total least square (AMTLS) method has been used for curve fitting. In this study, AMTLS method is used for the ruin probability fitting and estimation of the ruin probability on an arbitrary initial capital in finite-time surplus process (or risk process). But in reality, it is difficult and complicated to find a fitting method for an appropriate estimate in order to obtain the best performance. So, a new method is developed to estimate the ruin probability of finite-time surplus process. This new method is called adaptive moving total exponential least square (AMTELS) method that applies AMTLS method with least-square fitting exponential. Claim data of motor insurance company from Thailand has used in risk process for the ruin probability fitting. Both AMTLS and AMTELS methods consider weighted function for the distance between node and point with a different constant value d. These methods are compared the performance by using the mean squared error (MSE) and the mean absolute error (MAE) that is, the error between the real ruin probability value that is obtained by the explicit formula and the ruin probability fitting value. With these data, the ruin probability approximating examples are given to prove that AMTELS method shows the better performance than AMTLS method. Moreover, AMTELS method with the narrow value d shows the better performance than AMTELS method with the wide value d. 
     Keyword Adaptive moving total least square, exponential claim, least-square fitting exponential, moving total least squares, the ruin probability fitting, weighted function 
Author
587020019-9 Miss SUPAWAN KHOTAMA [Main Author]
Science Doctoral Degree

Reviewing Status มีผู้ประเมินอิสระ 
Status ตีพิมพ์แล้ว 
Level of Publication นานาชาติ 
citation true 
Part of thesis true 
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