Approximation of Minimum Initial Capital of the Discrete Time Surplus Process using Separated Claim Technique for Motor Insurance

Authors: Soontorn Boonta, Watchara Teparos

Abstract: In this paper, we compute what minimum initial capital an insurance company has to hold to ensure that the ruin probability (insolvency probability) is not greater than the given quantity of the discrete time surplus process using separating claim technique. 365 claims of motor insurance are separated into standard and large claims. The criteria of separation is at the 80th percentile; if claim is less than or equal the 80th percentile, it is called standard claim and claim is called large claim if it is greater than the 80th percentile. We also perform some simulations to estimate the ruin probability as well as calculate the minimum initial capital using regression analysis.

WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 16, 2019, Art. #55

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Soontorn Boonta, Watchara Teparos, "Approximation of Minimum Initial Capital of the Discrete Time Surplus Process using Separated Claim Technique for Motor Insurance," WSEAS Transactions on Business and Economics, vol. 16, pp. 496-499, 2019
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