WSEAS Transactions on Business and Economics


Print ISSN: 1109-9526
E-ISSN: 2224-2899

Volume 15, 2018

Notice: As of 2014 and for the forthcoming years, the publication frequency/periodicity of WSEAS Journals is adapted to the 'continuously updated' model. What this means is that instead of being separated into issues, new papers will be added on a continuous basis, allowing a more regular flow and shorter publication times. The papers will appear in reverse order, therefore the most recent one will be on top.

Volume 15, 2018


Approximating the Ruin Probability of Finite-Time Surplus Process with Adaptive Moving Total Exponential Least Square

AUTHORS: S. Khotama, S. Boonthiem, W. Klongdee

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ABSTRACT: The adaptive moving total least square (AMTLS) method has been used for curve fitting. In this study, AMTLS method is used for the ruin probability fitting and estimation of the ruin probability on an arbitrary initial capital in finite-time surplus process (or risk process). But in reality, it is difficult and complicated to find a fitting method for an appropriate estimate in order to obtain the best performance. So, a new method is developed to estimate the ruin probability of finite-time surplus process. This new method is called adaptive moving total exponential least square (AMTELS) method that applies AMTLS method with least-square fitting exponential. Claim data of motor insurance company from Thailand has used in risk process for the ruin probability fitting. Both AMTLS and AMTELS methods consider weighted function for the distance between node and point with a different constant value d. These methods are compared the performance by using the mean squared error (MSE) and the mean absolute error (MAE) that is, the error between the real ruin probability value that is obtained by the explicit formula and the ruin probability fitting value. With these data, the ruin probability approximating examples are given to prove that AMTELS method shows the better performance than AMTLS method. Moreover, AMTELS method with the narrow value d shows the better performance than AMTELS method with the wide value d.

KEYWORDS: - Adaptive moving total least square, exponential claim, least-square fitting exponential, moving total least squares, the ruin probability fitting, weighted function

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WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 15, 2018, Art. #31, pp. 321-328


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