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Title: Investigation of Upper Bound for the Ruin Probability by Approximate Methods in a Nonlinear Risk Model with Gamma Claims
Authors: Khaniyev, T.
Gever, B.
Hanalioglu, Z.
Keywords: adjustment coefficient; gamma distribution; non-linear Cramer-Lundberg risk model; ruin probability
Approximation algorithms; Probability distributions; Risk assessment; Adjustment coefficient; Approximate formulas; Approximate methods; Gamma distribution; Non linear; Non-linear crame-lundberg risk model; Risk modeling; Risk theory; Ruin Probability; Upper Bound; Numerical methods
Issue Date: 2023
Publisher: Institute of Electrical and Electronics Engineers Inc.
Abstract: 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. © 2023 IEEE.
Description: 5th International Conference on Problems of Cybernetics and Informatics, PCI 2023 -- 28 August 2023 through 30 August 2023 -- 195003
ISBN: 9798350319064
Appears in Collections:Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection

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