Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
Journal Title: Operations Research and Decisions - Year 2015, Vol 25, Issue 3
Abstract
The paper focuses on a quantitative analysis of the probability of ruin in a finite time for a discrete risk process with proportional reinsurance and investment of the financial surplus. It is assumed that the total loss on a unit interval has either a light-tailed distribution – exponential distribution or a heavytailed distribution – Pareto distribution. The ruin probabilities for the finite-horizons 5 and 10 were determined from recurrence equations. Moreover, the upper bound of the ruin probability is given for the exponential distribution based on the Lundberg adjustment coefficient. This adjustment coefficient does not exist for the Pareto distribution, hence an asymptotic approximation is given for the ruin probability when the initial capital tends to infinity. The numerical results obtained are illustrated by tables and figures.
Authors and Affiliations
Helena JASIULEWICZ, Wojciech KORDECKI
Keywords
Related Articles
- EP ID EP323601
- DOI -
- Views 44
- Downloads 0
Verification of a model as a scientific tool of operations research – a methodological approach
The aim of the research presented in this paper was to solve one of the fundamental problems of modelling and simulation, i.e., verification of a model as a scientific tool of operations research. To attack this problem,...
Theoretical and methodological bases of threats. The method of security management support
A new approach to threat analysis and management of security understood has been presented. Threats have been analyzed in a wide theoretical-methodological range with particular emphasis on the need for the system-wide a...
Informatics systems of decision support and analysis of their security
A new approach to security issues associated with the use of teleinformatics systems in the deci-sion-making process has been presented. There is a discussion of the relationship between the security of informatics syste...
Analysis of complex decision problems based on cumulative prospect theory
Complex risky decision problems involve sequences of decisions and random events. The choice at a given stage depends on the decisions taken in the previous stages, as well as on the realizations of the random events tha...
EDITORIAL
This special issue of the Operations Research and Decisions is dedicated to the Spain-Italy-Netherlands Meeting on Game Theory SING 10, an international meeting that started as a reference point for game theorists mainly...