Risk analysis under progressive type II censoring with binomial claim numbers

Kemaloglu S., Gebizlioglu O. L.

Journal of Computational and Applied Mathematics, cilt.233, sa.1, ss.61-72, 2009 (SCI-Expanded) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 233 Sayı: 1
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1016/j.cam.2008.10.045
  • Dergi Adı: Journal of Computational and Applied Mathematics
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.61-72
  • Anahtar Kelimeler: Binomial claim numbers, Progressive censoring, Reserves, Risk process, Solvency ratio
  • Ankara Üniversitesi Adresli: Evet

Özet

This paper presents a model of actuarial loss events that follow a progressive censoring scheme. Loss events are modelled according to this scheme regarding the claim number and size. Claim events at random time points are assumed to happen progressively in a given period due to each of an m number of claims that occur due to hazardous events, while a fixed number of n claims are anticipated to take place in total. Distribution of the resulting total loss amount is derived, and according to its properties, some risk management issues about reserves and solvency are discussed. © 2008 Elsevier B.V. All rights reserved.