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 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 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 S. Asmussen, Ruin Probabilities, World Scientific. 2000, 620 p.
5 A. Borovkov, Probability Theory, M.: URSS, 2009.
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 D.C. Dickson, H.R. Waters, Reinsurance and ruin, Insurance: Mathematics and Economics, 19 (1996), (1), 61-80.
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.
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 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 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 S. Asmussen, Ruin Probabilities, World Scientific. 2000, 620 p.
5 A. Borovkov, Probability Theory, M.: URSS, 2009.
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 D.C. Dickson, H.R. Waters, Reinsurance and ruin, Insurance: Mathematics and Economics, 19 (1996), (1), 61-80.
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.
AMA
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. Aralık 2020;3(1):207-214.
Chicago
Bayramov, Veli, Afaq Abdullayeva, ve Rovshan Aliyev. “On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process”. Conference Proceedings of Science and Technology 3, sy. 1 (Aralık 2020): 207-14.
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
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, 2020.
ISNAD
Bayramov, Veli vd. “On the Asymptotic Expansions for the Expected Value and Variance of the Reinsurance Surplus Process”. Conference Proceedings of Science and Technology 3/1 (Aralık 2020), 207-214.
JAMA
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, 2020, ss. 207-14.
Vancouver
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):207-14.
