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Title
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خسارتهاي با توزيعهاي دم سنگين در مدلهاي مخاطره شركتهاي بيمه
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Type
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Presentation
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Keywords
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احتمال ورشكستگي، توزيع دم سنگين، توزيع پارتو، تق بيمه، مدل مخاطره جمعي بيمه
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Abstract
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The used claims in the risk models could have the light tail distribution or heavy tail distribution, of course the value of ruin probability in risk model based on the kind of used distribution is different. In this paper, we discuss about the risk models of insurance company when the claims are distributed as Pareto distribution and explain that using these claims in the risk models of insurance company for computing the ruin probability could has detriment of directors of insurance company and not suitable for using in the risk mathematical model. It is shown that according to the obtained relative error of claims with Pareto distribution in connection with the real mean of occurred claims, the estimation of claims mean is not suitable in estimation of claims.
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Researchers
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Abouzar Bazyari (First researcher) ,
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