RUIN PROBABILITY CALCULATION FOR INSURANCE COMPANIES VIA TIJMS APPROXIMATION

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

BAJALAN SAEED; NAMDAR MOSTAFA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH) Year:2016 | Volume:31 | Issue:2 (122) Page(s): 41-56

Download Full-Text

Persian Verion

View:

1,471

Download:

Cites:

Information Journal Paper

Title

RUIN PROBABILITY CALCULATION FOR INSURANCE COMPANIES VIA TIJMS APPROXIMATION

Author(s)

BAJALAN SAEED | NAMDAR MOSTAFA | Issue Writer Certificate

Keywords

TIJMS APPROXIMATIONQ1

COMPOUND POISSON PROCESSQ1

CRAMER'S ASYMPTOTIC RUIN FORMULAQ1

RUINQ2

Abstract

Ruin probability for insurance companies is a key factor which should be taken into consideration. In this paper, using TIJMS APPROXIMATION method we estimate the ultimate RUIN probability of third party insurance portfolio of an Iranian insurance company. For this purpose, first, using inflation adjusted loss data for the year 1386 to 1392, the surplus function of portfolio is modeled as a COMPOUND POISSON PROCESS. According to studies, Gamma distribution was the best fit among other distributions which were examined. Then adjustment coefficient as one of the input key parameter for Tijms method was determined by using Deker algorithm. Finally, RUIN probability was estimated using Tijms RUIN probability under several scenarios regarding initial surplus. Results proved that ultimate RUIN probability for this portfolio is relatively high and company should take management policies in order to reduce it.

Cites

No record.

References

No record.

Cite

APA: Copy

BAJALAN, SAEED, & NAMDAR, MOSTAFA. (2016). RUIN PROBABILITY CALCULATION FOR INSURANCE COMPANIES VIA TIJMS APPROXIMATION. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), 31(2 (122)), 41-56. SID. https://sid.ir/paper/100967/en

Vancouver: Copy

BAJALAN SAEED, NAMDAR MOSTAFA. RUIN PROBABILITY CALCULATION FOR INSURANCE COMPANIES VIA TIJMS APPROXIMATION. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH)[Internet]. 2016;31(2 (122)):41-56. Available from: https://sid.ir/paper/100967/en

IEEE: Copy

SAEED BAJALAN, and MOSTAFA NAMDAR, “RUIN PROBABILITY CALCULATION FOR INSURANCE COMPANIES VIA TIJMS APPROXIMATION,” IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), vol. 31, no. 2 (122), pp. 41–56, 2016, [Online]. Available: https://sid.ir/paper/100967/en

Related Journal Papers