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On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process

Cilt: 3 Sayı: 1 15 Aralık 2020
Conference Proceedings of Science and Technology Kapak
Conference Proceedings of Science and Technology
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On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process

Abstract

In this paper, we consider the reinsurance surplus process. Depending on the type of the reinsurance we obtain formulas for the distribution functions and moments of claims in reinsurance surplus process, then using these moments we give the asymptotic results for the mathematical expectation and variance in each type of the reinsurance. Then we give numerical examples to compare the values of mathematical expectation and variance when there is no reinsurance and when the insurer effects reinsurance.

Keywords

Kaynakça

  1. 1 R.T. Aliyev, Asymptotic expansions for the first four moments of Sparre Andersen risk process, Transactions of NAS Azerbaijan Vol. XXXVI, 3(2016), 58-66.
  2. 2 R. Aliyev, Second-order asymptotic expansion for the ruin probability of the Sparre Andersen risk process with reinsurance and stronger semiexponential claims, International Journal of Statistics and Actuarial Science, 1(2) (2017), 40-45.
  3. 3 R. Aliyev, V. Bayramov, On the asymptotic behaviour of the covariance function of the rewards of a multivariate renewal-reward process, Statistics and Probability Letters, 127 (2017), 138-149.
  4. 4 S. Asmussen, Ruin Probabilities, World Scientific. 2000, 620 p.
  5. 5 A. Borovkov, Probability Theory, M.: URSS, 2009.
  6. 6 M. Brown, H.A. Solomon, Second-order approximation for the variance of a renewal reward process, Stochastic Process. Appl., 3 (1975), 301-314.
  7. 7 D.C. Dickson, H.R. Waters, Reinsurance and ruin, Insurance: Mathematics and Economics, 19 (1996), (1), 61-80.
  8. 8 D.C. Dickson, H.R. Waters, Relative reinsurance retention levels, ASTIN Bulletin, 27(2) (1997), 207-227.

Ayrıntılar

Birincil Dil

İngilizce

Konular

Mühendislik

Bölüm

Konferans Bildirisi

Yazarlar

Afaq Abdullayeva Bu kişi benim
Azerbaijan

Rovshan Aliyev
Azerbaijan

Yayımlanma Tarihi

15 Aralık 2020

Gönderilme Tarihi

6 Ağustos 2020

Kabul Tarihi

13 Ekim 2020

Yayımlandığı Sayı

Yıl 2020 Cilt: 3 Sayı: 1

IZ

https://izlik.org/JA35GL83EH

Kaynak Göster

RIS / Bibtex
APA
Bayramov, V., Abdullayeva, A., & Aliyev, R. (2020). On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process. Conference Proceedings of Science and Technology, 3(1), 207-214. https://izlik.org/JA35GL83EH
AMA
1.Bayramov V, Abdullayeva A, Aliyev R. On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process. Conference Proceedings of Science and Technology. 2020;3(1):207-214. https://izlik.org/JA35GL83EH
Chicago
Bayramov, Veli, Afaq Abdullayeva, ve Rovshan Aliyev. 2020. “On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process”. Conference Proceedings of Science and Technology 3 (1): 207-14. https://izlik.org/JA35GL83EH.
EndNote
Bayramov V, Abdullayeva A, Aliyev R (01 Aralık 2020) On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process. Conference Proceedings of Science and Technology 3 1 207–214.
IEEE
[1]V. Bayramov, A. Abdullayeva, ve R. Aliyev, “On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process”, Conference Proceedings of Science and Technology, c. 3, sy 1, ss. 207–214, Ara. 2020, [çevrimiçi]. Erişim adresi: https://izlik.org/JA35GL83EH
ISNAD
Bayramov, Veli - Abdullayeva, Afaq - Aliyev, Rovshan. “On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process”. Conference Proceedings of Science and Technology 3/1 (01 Aralık 2020): 207-214. https://izlik.org/JA35GL83EH.
JAMA
1.Bayramov V, Abdullayeva A, Aliyev R. On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process. Conference Proceedings of Science and Technology. 2020;3:207–214.
MLA
Bayramov, Veli, vd. “On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process”. Conference Proceedings of Science and Technology, c. 3, sy 1, Aralık 2020, ss. 207-14, https://izlik.org/JA35GL83EH.
Vancouver
1.Veli Bayramov, Afaq Abdullayeva, Rovshan Aliyev. On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process. Conference Proceedings of Science and Technology [Internet]. 01 Aralık 2020;3(1):207-14. Erişim adresi: https://izlik.org/JA35GL83EH