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Publication
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| 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 |
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| Issue |
2 |
| 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 |
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| Reviewing Status |
มีผู้ประเมินอิสระ |
| Status |
ตีพิมพ์แล้ว |
| Level of Publication |
นานาชาติ |
| citation |
false |
| Part of thesis |
true |
| Attach file |
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| Citation |
0
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Journal Publication
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