응용통계연구 (The Korean Journal of Applied Statistics)

  • 제24권4호
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  • Pages.575-586
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  • 2011
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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보험위험 확률모형에서의 파산확률

Ruin Probability on Insurance Risk Models

  • 박현숙 (한림대학교 금융정보통계학과) ;
  • 최정규 (한림대학교 금융정보통계학과)
  • Park, Hyun-Suk (Department of Finance and Information Statistics, Hallym University) ;
  • Choi, Jeong-Kyu (Department of Finance and Information Statistics, Hallym University)
  • 투고 : 20110400
  • 심사 : 20110600
  • 발행 : 2011.08.31
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초록

본 연구는 보험산업에서 관심을 갖는 파산확률의 근사적 추이를 살펴보기 위하여 크레임의 분포가 정규변동성 성질을 갖는 사례를 통하여 파산가능성의 추이를 살펴보고, 정확한 파산확률 유도에 결정적인 역할을 하는 계수를 추정하는 실증연구에 초점을 둔다. 추정된 결정계수와 보험위험 확률모형의 안전지수와의 연관성을 분석하여 파산확률의 추이를 진단하는 방법도 함께 진행된다.

In this paper, we study an asymptotic behavior of the finite-time ruin probability of the compound Poisson model in the case that the initial surplus is large. To compare an exact ruin probability with an approximate one, we place the focus on the exact calculation for the ruin probability when the claim size distribution is regularly varying tailed (i.e. exponential claims and inverse Gaussian claims). We estimate an adjustment coefficient in these examples and show the relationship between the adjustment coefficient and the safety premium. The illustration study shows that as the safety premium increases so does the adjustment coefficient. Larger safety premium means lower "long-term risk", which only stands to reason since higher safety premium means a faster rate of safety premium income to offset claims.

키워드

참고문헌

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피인용 문헌

  1. A compound Poisson risk model with variable premium rate vol.23, pp.6, 2012, https://doi.org/10.7465/jkdi.2012.23.6.1289
  2. Comparison of cadmium absorption, translocation, subcellular distribution and chemical forms between two radish cultivars ( Raphanus sativus L.) vol.145, 2017, https://doi.org/10.1016/j.ecoenv.2017.07.042