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Dergiler / Journal of Business Economics and Finance / 2018 / Cilt: 7 - Sayı: 4

RUIN PROBABILITIES IN DEPENDENT INSURANCES WITH AUTOREGRESSIVE MODEL

Elif Makbule CEKİCİ
Sami OZCAN
Hasan DURMUS
Sayfa
365–375
Yayın Tarihi
2018-12-30
DOI
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Purpose- Risk analysis and ruin probabilities were calculated with the assumption of independence in the past, however this assumption

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Amaç & Hipotez:Purpose- Risk analysis and ruin probabilities were calculated with the assumption of independence in the past, however this assumption
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Temel Bulgular & Veri:Purpose- Risk analysis and ruin probabilities were calculated with the assumption of independence in the past, however this assumption
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Sonuç & Katkı:Purpose- Risk analysis and ruin probabilities were calculated with the assumption of independence in the past, however this assumption
🔬Tür:Araştırma Makalesi
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Ruin probability · dependent ruin probability · multivariate autoregressive process (MAR(1))

Abstract

Purpose- Risk analysis and ruin probabilities were calculated with the assumption of independence in the past, however this assumption

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Bu Makaleye Atıf Yap

CEKİCİ, E. M., OZCAN, S., DURMUS, H. (2018). RUIN PROBABILITIES IN DEPENDENT INSURANCES WITH AUTOREGRESSIVE MODEL. Journal of Business Economics and Finance, Cilt: 7 - Sayı: 4, 365–375. https://ajindex.com/articles/835063

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Kaynakça (6)

  1. Bayramoğlu, M. M. (2018). Türkiye’de oduna dayalı orman ürünleri üzerine bir araştırma: zaman serisi analizi. Artvin Çoruh Üniversitesi Orman Mühendisliği Dergisi, 1: 18 – 26. DOI: 10.17474/artvinofd.333344 Cai, J., Li, H. (2007). Dependence properties and bounds for ruin probabilities in multivariate compound risk models. Journal of Multivariate Analysis, 98: 757-773. DOI: 10.1016/j.jmva.2006.06.004 Cossette, H., Marceau, E., Deschamps, W. M. (2010). Discrete-Time risk models based on time series for count random variables. The Journal of International Actuarial Association, 40(1): 123-150. DOI: 10.2143/AST.40.1.2049221 Dağlıoğlu, S., Erdemir, C. (2008a). Bazı bağımlı aktüeryal risk süreçlerinin deneysel sonuçları. İstatistikçiler Dergisi, 2: 105 – 124. Retrieved from http://www.istatistikciler.org/dergi/IstDer080204.pdf
  2. Dağlıoğlu, S., Erdemir, C. (2008b). Bağımlı aktüeryal risklerin çok değişkenli zaman serisi modeli. İstatistikçiler Dergisi, 1: 144 – 163. Gu, C. (2013). The ruin problem of dependent risk model based on copula function. Journal of Chemical and Pharmaceutical Research, 5(9): 234-240. Retrieved from http://www.jocpr.com/articles/the-ruin-problem-of-dependent-risk-model-based-on-copula-function.pdf
  3. Heilpern, S. (2009). Probability of ruin for a dependent, two-dimensional poisson process. Operations Research And Decision, 1: 77 – 90. Retrieved from https://www.researchgate.net/publication/227653942_Probability_of_ruin_for_a_dependent_two-dimensional_poisson_process
  4. Jiang, W., Yang, Z. (2016). The maximum surplus before ruin for dependent risk models through farlie–gumbel–morgenstern copula. Scandinavian Actuarial Journal, 2016(5): 385-397. DOI: 10.2139/ssrn.2460490 Liosel S. and Lefevre C. (2009). Finite-Time ruin probabilities for discrete, possibly dependent, claim severities. Methodology And Computing In Applied Probability, 11(3): 425-441. DOI: 10.1007/s11009-009-9123-9
  5. Makridakis, S., Wheelwright, S. C., Hyndman, R. J. (1998). Forecasting: methods and applications. John Wiley & Sons. Inc, United State of America. Tse, Yiu-Kues (2009). Nonlife actuarial models theory, methods and evaluation. Cambridge Unıversity Press,
  6. New York. Wan, L. M., Yuen, K. C., Li, W. K. (2005). Ultimate ruin probability for a time-series risk model with dependent classes of ınsurance business. Journal of Actuarial Practice, 12: 193-214. Retrieved from http://digitalcommons.unl.edu/cgi/viewconte