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Dergiler / Journal of Turkish Operations Management / 2022 / Cilt: 6 - Sayı: 1

Investigation of a Non-Linear Cramér-Lundberg Risk Model

Zulfiye HANALİOGLU
Yusup ALLYYEV
Tahir KHANIYEV
Sayfa
1065–1075
Yayın Tarihi
2022-06-30
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Then Lundberg type upper bound was calculated for the ruin probability for the model under investigation.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In this study, a non-linear version of a Cramér-Lundberg risk model is examined.
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Temel Bulgular & Veri:Because an insurance company's premium income cannot always increase linearly.
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Sonuç & Katkı:Then Lundberg type upper bound was calculated for the ruin probability for the model under investigation.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Cramér-Lundberg risk model · Ruin probability · Non-linear risk model

Abstract

In this study, a non-linear version of a Cramér-Lundberg risk model is examined. The objective of this work is to evaluate the ruin probability of a non-linear risk model. The classical linear Cramér-Lundberg model has been widely studied in the literature. However, the linear model is not always realistic. Because an insurance company's premium income cannot always increase linearly. Therefore, it is recommended to adapt premium income as a function which increases monotonically and yet its rate of growth decreases over time. Thus, to account for this, a more realistic non-linear mathematical model has been constructed and investigated, when the premium income function is p(t)=c√t. Then Lundberg type upper bound was calculated for the ruin probability for the model under investigation.

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Bu Makaleye Atıf Yap

HANALİOGLU, Z., ALLYYEV, Y., KHANIYEV, T. (2022). Investigation of a Non-Linear Cramér-Lundberg Risk Model. Journal of Turkish Operations Management, Cilt: 6 - Sayı: 1, 1065–1075. https://ajindex.com/articles/782028

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Kaynakça (16)

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