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Jiraphan Suntornchost. Risk model with correlated claims based on compound Poisson-Negative binomial process. (). King Mongkut's University of Technology North Bangkok. Central Library. : , 2022.
Risk model with correlated claims based on compound Poisson-Negative binomial process
Name: Sutipon Punaluek
Organization :
Chulalongkorn University. Faculty of Science
Email :
b1devil12@gmail.com
Name: Jiraphan Suntornchost
Organization :
Chulalongkorn University. Faculty of Science
Email :
jiraphan.s@chula.ac.th
keyword:
Correlated claims
ThaSH:
Poisson distribution
ThaSH:
Binomial distribution
ThaSH:
Risk assessment
-- Models
ThaSH:
Indemnity
Abstract:
In this paper, we introduce a correlated aggregated claims risk model based on a compound Poisson-Negative binomial process.
The model incorporates two different aspects which are the correlated claims among multiple classes of insurance business where claims
from each business are induced by different types of events. The underlying claim count process considered in this study is the compound
Poisson-Negative binomial process to accommodate overdispersed distribution of claim counts data. In our study, we first construct the
risk model and derive its probabilistic properties. Moreover, we obtain the adjustment coefficient equation using the martingale approach,
prove the uniqueness of the adjustment coefficient equation, and obtain the upper bound of the ruin probability, the first time that the surplus
becomes negative. Finally, we perform a numerical simulation for a special case where claim sizes are exponentially distributed to study
the effects of the parameters in the model on the upper bound of the ruin probability.
King Mongkut's University of Technology North Bangkok. Central Library
Address:
BANGKOK
Email:
library@kmutnb.ac.th
Created:
2022
Modified:
2025-09-15
Issued:
2025-09-15
บทความ/Article
application/pdf
BibliograpyCitation :
In King Mongkut's University of Technology North Bangkok Faculty of Applied Science, Thai Statistical Association (TSA) and Statistics Cooperative Research Network (Statistics CRN). The Proceeding of International Conference on Applied Statistics (ICAS 2022) (pp.109-114). Bangkok : King Mongkut's University of Technology North Bangkok
eng
©copyrights King Mongkut's University of Technology North Bangkok
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ใช้เวลา
0.028517 วินาที
Sutipon Punaluek
| Title | Contributor | Type |
|---|---|---|
| Risk model with correlated claims based on compound Poisson-Negative binomial process
มหาวิทยาลัยเทคโนโลยีพระจอมเกล้าพระนครเหนือ Sutipon Punaluek;Jiraphan Suntornchost | บทความ/Article |
Jiraphan Suntornchost
| Title | Contributor | Type |
|---|---|---|
| Modelling the household debts in Thailand using Fay-Herriot models
มหาวิทยาลัยเทคโนโลยีพระจอมเกล้าพระนครเหนือ Annop Angkunsit.;Jiraphan Suntornchost. | บทความ/Article | |
| Mixture autoregressive model for Thai stock market data
มหาวิทยาลัยเทคโนโลยีพระจอมเกล้าพระนครเหนือ Apicha Suthichayapipat;Jiraphan Suntornchost | บทความ/Article | |
| Risk model with correlated claims based on compound Poisson-Negative binomial process
มหาวิทยาลัยเทคโนโลยีพระจอมเกล้าพระนครเหนือ Sutipon Punaluek;Jiraphan Suntornchost | บทความ/Article |