Investigation of Upper Bound for the Ruin Probability by Approximate Methods in a Nonlinear Risk Model with Gamma Claims

Khaniyev T., Gever B., Hanalioglu Z.

5th International Conference on Problems of Cybernetics and Informatics, PCI 2023, Baku, Azerbaijan, 28 - 30 August 2023 identifier

  • Nəşrin Növü: Conference Paper / Full Text
  • Doi nömrəsi: 10.1109/pci60110.2023.10325929
  • Çap olunduğu şəhər: Baku
  • Ölkə: Azerbaijan
  • Açar sözlər: adjustment coefficient, gamma distribution, non-linear Cramer-Lundberg risk model, ruin probability
  • Adres: Yox

Qısa məlumat

This study considers a non-linear Cramér-Lundberg model of the risk theory and investigates the adjustment coefficient when the claims have gamma distribution. The ruin probability of this non-linear risk model is considered when the premium function is square root of time. Thus, in this study, the adjustment coefficient is explored by numerical methods and proposed an approximate formula for practical calculation of adjustment coefficient. Moreover, an implementation of the obtained approximate formula, which investigates ruin probability, is included as an example at the end of the paper.