SURVIVAL PROBABILITIES FOR COMPOUND BINOMIAL RISK MODEL WITH DISCRETE PHASE-TYPE CLAIMS

被引：0
|
作者：
Tuncel, Altan [1 ]
机构：
[1] Kirikkale Univ, Fac Arts & Sci, Dept Actuarial Sci, Kirikkale, Turkey
来源：
COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS | 2016年 / 65卷 / 02期
关键词：
Compound binomial risk model; phase-type claims; non-homogenous claim occurrence; survival probabilities;
D O I：
10.1501/Commual_0000000755
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Due to having useful properties in approximating to the other distributions and mathematically tractable, phase type distributions are commonly used in actuarial risk theory. Claim occurrence time and individual claim size distributions are modelled by phase type distributions in literature. This paper aims to calculate the survival probabilities of an insurance company under the assumption that compound binomial risk model where the individual claim sizes are distributed as discrete Phase Type distribution.
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收藏
页码：11 / 22
页数：12
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