Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
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Computing Ruin Probability Using the GPH Distribution

GPH 분포를 이용한 파산확률의 계산

  • 윤복식 (홍익대학교 기초과학과)
  • Received : 2015.05.25
  • Accepted : 2015.07.22
  • Published : 2015.08.31
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Abstract

Even though ruin probability is a fundamental value to determine the insurance premium and policy, the complexity involved in computing its exact value forced us resort to an approximate method. In this paper, we first present an exact method to compute ruin probability under the assumption that the claim size has a GPH distribution, Then, for the arbitrary claim size distribution, we provide a method computing ruin probability quite accurately by approximating the distribution as a GPH. The validity of the proposed method demonstrated by a numerical example. The GPH approach seems to be valid for heavy-tailed claims as well as usual light-tailed claims.

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References

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