An Approximation of Minimum Initial Capital of Investment Discrete Time Surplus Process with Weibull Distribution in a Reinsurance Company
| Autor: | Soontorn Boonta, Somchit Boonthiem |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Reinsurance
Insolvency Article Subject Estimation theory Applied Mathematics lcsh:Mathematics Process (computing) 02 engineering and technology Method of moments (probability theory) 021001 nanoscience & nanotechnology Investment (macroeconomics) lcsh:QA1-939 01 natural sciences 010104 statistics & probability Discrete time and continuous time Econometrics 0101 mathematics 0210 nano-technology Weibull distribution Mathematics |
| Zdroj: | Journal of Applied Mathematics, Vol 2019 (2019) J. Appl. Math. |
| ISSN: | 1687-0042 |
| Popis: | Catastrophe is a loss that has a low probability of occurring but can lead to high-cost claims. This paper uses the data of fire accidents from a reinsurance company in Thailand for an experiment. Our study is in two parts. First, we approximate the parameters of a Weibull distribution. We compare the parameter estimation using a direct search method with other frequently used methods, such as the least squares method, the maximum likelihood estimation, and the method of moments. The results show that the direct search method approximates the parameters more precisely than other frequently used methods (to four-digit accuracy). Second, we approximate the minimum initial capital (MIC) a reinsurance company has to hold under a given ruin probability (insolvency probability) by using parameters from the first part. Finally, we show MIC with varying the premium rate. |
| Databáze: | OpenAIRE |
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