An approximation of minimum initial capital of investment discrete time surplus process with Weibull distribution in a reinsurance company
Summary: Catastrophe is a loss that has a low probability of occurring but can lead to high-cost claims. This paper uses the data of fire accidents from a reinsurance company in Thailand for an experiment. Our study is in two parts. First, we approximate the parameters of a Weibull distribution. We compare the parameter estimation using a direct search method with other frequently used methods, such as the least squares method, the maximum likelihood estimation, and the method of moments. The results show that the direct search method approximates the parameters more precisely than other frequently used methods (to four-digit accuracy). Second, we approximate the minimum initial capital (MIC) a reinsurance company has to hold under a given ruin probability (insolvency probability) by using parameters from the first part. Finally, we show MIC with varying the premium rate.
- Direct derivation of finite-time ruin probabilities in the discrete risk model with exponential or geometric claims
- Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
- scientific article; zbMATH DE number 2130681 (Why is no real title available?)
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