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Yıl 2020, Cilt: 3 Sayı: 1, 207 - 214, 15.12.2020

Veli Bayramov , Afaq Abdullayeva Rovshan Aliyev

Öz

Kaynakça

  • 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.
  • 8 D.C. Dickson, H.R. Waters, Relative reinsurance retention levels, ASTIN Bulletin, 27(2) (1997), 207-227.
  • 9 D. Dickson, Proportional Reinsurance, Encyclopedia of Actuarial Science, 2006.
  • 10 C. Stone, On characteristic function and renewal theory, Trans. Amer. Math. Soc., 120 (2) (1965), 327-342.

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

Yıl 2020, Cilt: 3 Sayı: 1, 207 - 214, 15.12.2020

Veli Bayramov , Afaq Abdullayeva Rovshan Aliyev

Öz

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.

Anahtar Kelimeler

Reinsurance Surplus process Asymptotic expansion Mathematical expectation Variance Renewal process Renewal-reward process

Kaynakça

  • 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.
  • 8 D.C. Dickson, H.R. Waters, Relative reinsurance retention levels, ASTIN Bulletin, 27(2) (1997), 207-227.
  • 9 D. Dickson, Proportional Reinsurance, Encyclopedia of Actuarial Science, 2006.
  • 10 C. Stone, On characteristic function and renewal theory, Trans. Amer. Math. Soc., 120 (2) (1965), 327-342.
Toplam 10 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Mühendislik
Bölüm Articles
Yazarlar

Veli Bayramov

Afaq Abdullayeva Bu kişi benim

Rovshan Aliyev

Yayımlanma Tarihi 15 Aralık 2020
Kabul Tarihi 13 Ekim 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 3 Sayı: 1

Kaynak Göster

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.
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.
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