Filters

2011 - 20172
Reset filters

Settings

Author: Gebizlioglu, Omer L.Publisher: Elsevier

Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    Article
    Citation - WoS: 11
    Citation - Scopus: 10
    Modeling of Claim Exceedances Over Random Thresholds for Related Insurance Portfolios
    (Elsevier, 2011) Eryilmaz, Serkan; Gebizlioglu, Omer L.; Tank, Fatih
    Large claims in an actuarial risk process are of special importance for the actuarial decision making about several issues like pricing of risks, determination of retention treaties and capital requirements for solvency. This paper presents a model about claim occurrences in an insurance portfolio that exceed the largest claim of another portfolio providing the same sort of insurance coverages. Two cases are taken into consideration: independent and identically distributed claims and exchangeable dependent claims in each of the portfolios. Copulas are used to model the dependence situations. Several theorems and examples are presented for the distributional properties and expected values of the critical quantities under concern. (C) 2011 Elsevier B.V. All rights reserved.
  • Thumbnail Image
    Article
    Citation - WoS: 5
    Citation - Scopus: 6
    Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences
    (Elsevier, 2017) Eryilmaz, Serkan; Gebizlioglu, Omer L.
    In this paper, we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular, we obtain expressions for the finite time non-ruin probability, and the joint distribution of the time to ruin, the surplus immediately before ruin, and the deficit at ruin. An illustration of the results is given and some implications of the results are provided. Comparisons are made with the corresponding results for the classical compound binomial model of independent and identically distributed claim occurrences. (C) 2016 Elsevier E.V. All rights reserved.