THE FORCE OF RUIN

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Sigma Mühendislik ve Fen Bilimleri Dergisi
Volume:36 Issue:2
THE FORCE OF RUIN

THE FORCE OF RUIN

Authors : Şule ŞAHİN, Başak BULUT KARAGEYİK

Pages : 563-575

View : 40 | Download : 7

Publication Date : 2018-06-01

Article Type : Research Paper

Abstract :This paper introduces a hazard rate function for the time of ruin to calculate the conditional probability of ruin for very small time intervals. We call this function as the force of ruin insert ignore into journalissuearticles values(FoR);. We obtain the expected time of ruin and conditional expected time of ruin from the exact finite time ruin probability with exponential claim amounts. Then, we introduce the FoR which gives the conditional probability of ruin and the condition is that ruin has not occurred at time t. We analyse the behaviour of the FoR function for different initial surpluses over a specific time interval. We also obtain FoR under the excess of loss reinsurance arrangement and examine the effect of reinsurance on the FoR.
Keywords : conditional time of ruin, exact finite time ruin probability, the force of ruin, reinsurance

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