Investigation of a Non-Linear Cramér-Lundberg Risk Model

Authors : Zulfiye HANALİOGLU, Yusup ALLYYEV, Tahir KHANIYEV

Pages : 1065-1075

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Publication Date : 2022-06-30

Article Type : Research Paper

Abstract :In this study, a non-linear version of a Cramér-Lundberg risk model is examined. The objective of this work is to evaluate the ruin probability of a non-linear risk model. The classical linear Cramér-Lundberg model has been widely studied in the literature. However, the linear model is not always realistic. Because an insurance company`s premium income cannot always increase linearly. Therefore, it is recommended to adapt premium income as a function which increases monotonically and yet its rate of growth decreases over time. Thus, to account for this, a more realistic non-linear mathematical model has been constructed and investigated, when the premium income function is pinsert ignore into journalissuearticles values(t);=c√t. Then Lundberg type upper bound was calculated for the ruin probability for the model under investigation.
Keywords : Cramér Lundberg risk model, Ruin probability, Non linear risk model, Lundberg type upper bound, Generalized Lundberg coefficient