WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 20, 2023
Comparison of the Minimum Initial Capital of Investment Discrete Time Surplus Process in Case Separated Claims
Authors: ,
Abstract: In this paper, we suggest the bare minimum initial capital a firm providing insurance must hold to
avoid going bankrupt. A case-separated investment discrete-time surplus process in motor insurance claims
serves as the study's model. The $$50^{th}, 60^{th}, 70^{th}$$, and $$80^{th}$$ percentiles are used as the dividing line between a
claim's standard claim and large claim situations. We also discover a link between an insurance company's
initial capital and the likelihood of ruin. The least squares regression method is utilized to calculate the
minimum initial capital, and the simulation approach would be used to determine the ruin probability. The
results indicate that the least initial capital is better provided by the $$70^{th}$$ percentile than the $$50^{th}, 60^{th}, $$, and $$80^{th}$$
percentiles, respectively.
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Keywords: ruin probability, discrete-time surplus process, minimum initial capital, insurance company
reserve
Pages: 1260-1267
DOI: 10.37394/23207.2023.20.112