Estimating Ruin Probability in an Insurance Risk Model Using the Wang-PH Transform Through Claim Simulation
The accurate estimation of ruin probability is a fundamental challenge in non-life insurance, impacting financial stability, risk management strategies, and operational decisions. This study aims to propose an approach for estimating ruin probability using claim simulation enhanced by the Wang-PH tr...
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| Format: | Article |
| Language: | English |
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2025-02-01
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| Series: | Emerging Science Journal |
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| Online Access: | https://ijournalse.org/index.php/ESJ/article/view/2515 |
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| author | Weenakorn Ieosanurak Adisak Moumeesri |
| author_facet | Weenakorn Ieosanurak Adisak Moumeesri |
| author_sort | Weenakorn Ieosanurak |
| collection | DOAJ |
| description | The accurate estimation of ruin probability is a fundamental challenge in non-life insurance, impacting financial stability, risk management strategies, and operational decisions. This study aims to propose an approach for estimating ruin probability using claim simulation enhanced by the Wang-PH transform to fit various loss distributions, including Gamma, Weibull, Lognormal, Log-logistic, Inverse Weibull, and Inverse Gaussian, to actual claim data. Methods involve the transformation of loss distributions via the Wang-PH transform and rigorous evaluation to select the optimal distribution model that best reflects actual claim characteristics. This model serves as the foundation for estimating finite-time ruin probability through claim simulation, employing the acceptance-rejection technique to generate random samples. Additionally, a regression-based methodology estimates the minimum capital reserve required to safeguard against financial risk. Findings indicate the proposed method's computational efficiency, making it a valuable tool for insurers and risk analysts in assessing and mitigating financial risks in the non-life insurance sector. The novelty of this study lies in the integration of the Wang-PH transform with empirical data fitting and simulation techniques, applied to estimating ruin probability and determining capital reserves.
Doi: 10.28991/ESJ-2025-09-01-011
Full Text: PDF |
| format | Article |
| id | doaj-art-1665202a772341cebe60d32df5f94e86 |
| institution | Kabale University |
| issn | 2610-9182 |
| language | English |
| publishDate | 2025-02-01 |
| publisher | Ital Publication |
| record_format | Article |
| series | Emerging Science Journal |
| spelling | doaj-art-1665202a772341cebe60d32df5f94e862025-02-08T14:26:27ZengItal PublicationEmerging Science Journal2610-91822025-02-019118820910.28991/ESJ-2025-09-01-011771Estimating Ruin Probability in an Insurance Risk Model Using the Wang-PH Transform Through Claim SimulationWeenakorn Ieosanurak0Adisak Moumeesri1Department of Mathematics, Faculty of Science, Khon Kaen University, Khon Kaen 40002,Department of Statistics, Faculty of Science, Silpakorn University, Nakhon Pathom 73000,The accurate estimation of ruin probability is a fundamental challenge in non-life insurance, impacting financial stability, risk management strategies, and operational decisions. This study aims to propose an approach for estimating ruin probability using claim simulation enhanced by the Wang-PH transform to fit various loss distributions, including Gamma, Weibull, Lognormal, Log-logistic, Inverse Weibull, and Inverse Gaussian, to actual claim data. Methods involve the transformation of loss distributions via the Wang-PH transform and rigorous evaluation to select the optimal distribution model that best reflects actual claim characteristics. This model serves as the foundation for estimating finite-time ruin probability through claim simulation, employing the acceptance-rejection technique to generate random samples. Additionally, a regression-based methodology estimates the minimum capital reserve required to safeguard against financial risk. Findings indicate the proposed method's computational efficiency, making it a valuable tool for insurers and risk analysts in assessing and mitigating financial risks in the non-life insurance sector. The novelty of this study lies in the integration of the Wang-PH transform with empirical data fitting and simulation techniques, applied to estimating ruin probability and determining capital reserves. Doi: 10.28991/ESJ-2025-09-01-011 Full Text: PDFhttps://ijournalse.org/index.php/ESJ/article/view/2515claim simulationloss distributionminimum capital reservenon-life insuranceruin probabilitywang transform. |
| spellingShingle | Weenakorn Ieosanurak Adisak Moumeesri Estimating Ruin Probability in an Insurance Risk Model Using the Wang-PH Transform Through Claim Simulation Emerging Science Journal claim simulation loss distribution minimum capital reserve non-life insurance ruin probability wang transform. |
| title | Estimating Ruin Probability in an Insurance Risk Model Using the Wang-PH Transform Through Claim Simulation |
| title_full | Estimating Ruin Probability in an Insurance Risk Model Using the Wang-PH Transform Through Claim Simulation |
| title_fullStr | Estimating Ruin Probability in an Insurance Risk Model Using the Wang-PH Transform Through Claim Simulation |
| title_full_unstemmed | Estimating Ruin Probability in an Insurance Risk Model Using the Wang-PH Transform Through Claim Simulation |
| title_short | Estimating Ruin Probability in an Insurance Risk Model Using the Wang-PH Transform Through Claim Simulation |
| title_sort | estimating ruin probability in an insurance risk model using the wang ph transform through claim simulation |
| topic | claim simulation loss distribution minimum capital reserve non-life insurance ruin probability wang transform. |
| url | https://ijournalse.org/index.php/ESJ/article/view/2515 |
| work_keys_str_mv | AT weenakornieosanurak estimatingruinprobabilityinaninsuranceriskmodelusingthewangphtransformthroughclaimsimulation AT adisakmoumeesri estimatingruinprobabilityinaninsuranceriskmodelusingthewangphtransformthroughclaimsimulation |