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THE FORCE OF RUIN

Year 2018, Volume: 36 Issue: 2, 563 - 575, 01.06.2018

Abstract

This paper introduces a hazard rate function for the time of ruin to calculate the conditional probability of ruin for very small time intervals. We call this function as the force of ruin (FoR). We obtain the expected time of ruin and conditional expected time of ruin from the exact finite time ruin probability with exponential claim amounts. Then, we introduce the FoR which gives the conditional probability of ruin and the condition is that ruin has not occurred at time t. We analyse the behaviour of the FoR function for different initial surpluses over a specific time interval. We also obtain FoR under the excess of loss reinsurance arrangement and examine the effect of reinsurance on the FoR.

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There are 26 citations in total.

Details

Primary Language English
Journal Section Research Articles
Authors

Şule Şahin This is me 0000-0003-4080-9165

Başak Bulut Karageyik This is me 0000-0002-8998-109X

Publication Date June 1, 2018
Submission Date May 12, 2017
Published in Issue Year 2018 Volume: 36 Issue: 2

Cite

Vancouver Şahin Ş, Bulut Karageyik B. THE FORCE OF RUIN. SIGMA. 2018;36(2):563-75.

IMPORTANT NOTE: JOURNAL SUBMISSION LINK https://eds.yildiz.edu.tr/sigma/