• Title/Summary/Keyword: 잉여금 과정

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Analysis of a Ruin Model with Surplus Following a Brownian Motion (브라운 운동을 이용한 보험 상품의 파산 모형 연구)

  • Han, Soo-Hee;Lee, Eui-Yong
    • The Korean Journal of Applied Statistics
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    • v.19 no.3
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    • pp.579-585
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    • 2006
  • We consider a ruin model where the surplus process is formed by a Brownian motion. If the level of surplus exceeds V, then we assume that a insurer invests an amount of S to other place. In this paper, we apply martingale methods to the surplus process and obtain the expectation of period T, time from origin to the point where the level of surplus reaches either V or 0. As a consequence, we finally derive the total and average amount of surplus during T.

The Ruin Probability in a Risk Model with Injections (재충전이 있는 연속시간 리스크 모형에서 파산확률 연구)

  • Go, Han-Na;Choi, Seung-Kyoung;Lee, Eui-Yong
    • The Korean Journal of Applied Statistics
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    • v.25 no.1
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    • pp.81-87
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    • 2012
  • A continuous time risk model is considered, where the premium rate is constant and the claims form a compound Poisson process. We assume that an injection is made, which is an immediate increase of the surplus up to level u > 0 (initial level), when the level of the surplus goes below ${\tau}$(0 < ${\tau}$ < u). We derive the formula of the ruin probability of the surplus by establishing an integro-differential equation and show that an explicit formula for the ruin probability can be obtained when the amounts of claims independently follow an exponential distribution.

An optimal management policy for the surplus process with investments (재투자가 있는 잉여금 과정의 최적 운용정책)

  • Lim, Se-Jin;Choi, Seungkyoung;Lee, Eui-Yong
    • The Korean Journal of Applied Statistics
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    • v.29 no.7
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    • pp.1165-1172
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    • 2016
  • In this paper, a surplus process with investments is introduced. Whenever the level of the surplus reaches a target value V > 0, amount S($0{\leq}S{\leq}V$) is invested into other business. After assigning three costs to the surplus process, a reward per unit amount of the investment, a penalty of the surplus being empty and the keeping (opportunity) cost per unit amount of the surplus per unit time, we obtain the long-run average cost per unit time to manage the surplus. We prove that there exists a unique value of S minimizing the long-run average cost per unit time for a given value of V, and also that there exists a unique value of V minimizing the long-run average cost per unit time for a given value of S. These two facts show that an optimal investment policy of the surplus exists when we manage the surplus in the long-run.

Further study on the risk model with a continuous type investment (연속적으로 투자가 이루어지는 보험상품 리스크 모형의 추가 연구)

  • Choi, Seung Kyoung;Lee, Eui Yong
    • The Korean Journal of Applied Statistics
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    • v.31 no.6
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    • pp.751-759
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    • 2018
  • Cho et al. (Communications for Statistical Applications and Methods, 23, 423-432, 2016) introduced a risk model with a continuous type investment and studied the stationary distribution of the surplus process. In this paper, we extend the earlier analysis by assuming that additional instant investment is made when the surplus process reaches a certain sufficient level. We obtain the explicit form of the stationary distribution of the surplus process. The case is shown as an example, when the amount of claim is exponentially distributed.

An Improvement of the Approximation of the Ruin Probability in a Risk Process (보험 상품 파산 확률 근사 방법의 개선 연구)

  • Lee, Hye-Sun;Choi, Seung-Kyoung;Lee, Eui-Yong
    • The Korean Journal of Applied Statistics
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    • v.22 no.5
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    • pp.937-942
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    • 2009
  • In this paper, a continuous-time risk process in an insurance business is considered, where the premium rate is constant and the claim process forms a compound Poisson process. We say that a ruin occurs if the surplus of the risk process becomes negative. It is practically impossible to calculate analytically the ruin probability because the theoretical formula of the ruin probability contains the recursive convolutions and infinite sum. Hence, many authors have suggested approximation formulas of the ruin probability. We introduce a new approximation formula of the ruin probability which extends the well-known De Vylder's and exponential approximation formulas. We compare our approximation formula with the existing ones and show numerically that our approximation formula gives closer values to the true ruin probability in most cases.

Ruin probabilities in a risk process perturbed by diffusion with two types of claims (두 가지 유형의 보험청구가 있는 확산과정 리스크 모형의 파산확률)

  • Won, Ho Jeong;Choi, Seung Kyoung;Lee, Eui Yong
    • Journal of the Korean Data and Information Science Society
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    • v.24 no.1
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    • pp.1-12
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    • 2013
  • In this paper, we introduce a continuous-time risk model where the surplus follows a diffusion process with positive drift while being subject to two types of claims. We assume that the sizes of both types of claims are exponentially distributed and that type I claims occur more frequently, however, their sizes are smaller than type II claims. We obtain the ruin probability that the level of the surplus becomes negative, by establishing an integro-differential equation for the ruin probability. We also obtain the ruin probabilities caused by each type of claim and the probability that the level of the surplus becomes negative naturally due to the diffusion process. Finally, we illustrate a numerical example to compare the impacts of two types of claim on the ruin probability of the surplus with that of the diffusion process in the risk model.

External financing constraints and Dividend Policy in accordance with the ownership structure (소유구조에 따른 외부 자본조달 제약과 배당정책)

  • Chi, Sung-Kwon
    • Management & Information Systems Review
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    • v.33 no.5
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    • pp.171-184
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    • 2014
  • This paper investigate the impact of external financing constraints(EFC) on the dividend policy(cash dividend ratio) and the impact of interaction of ownership structure((1)the percentage of shares held by external blockholder who owns at least 5% of equity(5% BHR), (2) the percentage of shares held by foreign investors(Foreign), (3) the percentage of shares by insider shareholders(Insider)) and external financing constraints on the dividend policy. The purpose mentioned above are empirically tested using 370 firm-year data listed on the Korean Exchange(KRX) with multiple regression method. Summarizing the results of analysis as following; Firstly, we find that EFC has negative relationship with cash dividend ratio. Secondly, interaction of 5% BHR and EFC has positive relationship with cash dividend ratio. Also, interaction of Foreign and EFC has positive relationship with cash dividend ratio. But, Insider and EFC has negative relationship with cash dividend ratio. This study contributes to research related to dividend policy by recognizing that ownership structure influences the dividend policy.

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