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GPH 분포를 이용한 파산확률의 계산Computing Ruin Probability Using the GPH Distribution
- Other Titles
- Computing Ruin Probability Using the GPH Distribution
- Authors
- 윤복식
- Issue Date
- 2015
- Publisher
- 한국경영과학회
- Keywords
- Ruin Probability; Insurance; GPH Distribution; Pollaczeck-Kinchine Formula
- Citation
- 한국경영과학회지, v.40, no.3, pp.39 - 48
- Journal Title
- 한국경영과학회지
- Volume
- 40
- Number
- 3
- Start Page
- 39
- End Page
- 48
- ISSN
- 1225-1119
- Abstract
- Even though ruin probability is a fundamental value to determine the insurance premium and policy, the complexity involved in computing its exact value forced us resort to an approximate method. In this paper, we first present an exact method to compute ruin probability under the assumption that the claim size has a GPH distribution, Then, for the arbitrary claim size distribution, we provide a method computing ruin probability quite accurately by approximating the distribution as a GPH. The validity of the proposed method demonstrated by a numerical example. The GPH approach seems to be valid for heavy-tailed claims as well as usual light-tailed claims.
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