Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/1577
Title: On The Application Of Random Walk With Delay And Pareto Distributed Interference Of Chance To An Insurance Model
Authors: Kesemen, Tülay
Küçük, Zafer
Khaniyev, Tahir
Yetim, Fuat
Kamışlık, Aslı Bektaş
17222
Keywords: Insurance model
random walk with delay
Pareto distribution
asymptotic expansion
Monte-Carlo simulation method
Issue Date: 2016
Publisher: Gazi Univ
Source: Küçük, Z., Kesemen, T., Khaniyev, T., Yetim, F., & Kamışlık, A. B. (2016). On Application Of Random Walk With Delay And Pareto Distributed Interference Of Chance To An Insurance Model. Gazi University Journal of Science, 29(3), 615-626.
Abstract: In this study, a semi-Markovian random walk with Pareto distributed interference of chance and delay is considered. Some exact formulas for the first four stationary moments of the process are obtained when the random variables which express the discrete interference of chance have Pareto distribution with parameters. The random variables are interpreted as loans which insurance company gets from a bank. With the use of these exact formulas, the third-order asymptotic expansions for the first four stationary moments of the process X(t) are derived when is sufficiently large. Finally, by using Monte-Carlo simulation method, the accuracy of the obtained approximation formulas is tested.
[Kesemen, Tulay] Karadeniz Tech Univ, Fac Sci, Dept Math, TR-61080 Trabzon, Turkey; [Kucuk, Zafer] Karadeniz Tech Univ, Fac Sci, Dept Stat & Comp Sci, TR-61080 Trabzon, Turkey; [Khaniyev, Tahir] TOBB Univ Econ & Technol, Dept Ind Engn, TR-06560 Ankara, Turkey; [Yetim, Fuat] Karadeniz Tech Univ, Dept Mech & Metall Technol, Abdullah Kanca Vocat Jr Coll, Trabzon, Turkey; [Bektas Kamislik, Ash] Recep Tayyip Erdogan Univ, Fac Arts & Sci, Dept Math, TR-53020 Rize, Turkey
URI: http://www.fbe.gazi.edu.tr/dergi/main.php?lan=en&option=54
https://hdl.handle.net/20.500.11851/1577
ISSN: 2147-1762
Appears in Collections:Endüstri Mühendisliği Bölümü / Department of Industrial Engineering
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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