Claims modeling with and alternative gamma-exponentiated weibull distribution and ruinprobability approximation

dc.contributor.advisorSamruam Chongcharoenth
dc.contributor.authorPawat Paksaranuwatth
dc.date.accessioned2021-09-01T04:54:15Z
dc.date.available2021-09-01T04:54:15Z
dc.date.issued2016th
dc.date.issuedBE2559th
dc.descriptionThesis (Ph.D. Statistics))--National Institute of Development Administration, 2016th
dc.description.abstractIn this dissertation, two studies that are beneficial for actuaries and the insurance business are proposed. In the first study, an exponentiated Weibull distribution using gamma-generated distribution is modified to obtain an alternative gamma-exponentiated Weibull (AGEW) distribution; its sub-models include both gamma and Weibull distributions, both of which are popular in claims modeling by insurance companies. Its basic structural properties such as distribution function, density function, and moments were investigated. Moreover, the maximum likelihood method to estimate the AGEW distribution’s parameters was utilized, then the distribution was applied to a real-life dataset to show its superiority over gamma and Weibull distributions by comparing fitness between themth
dc.description.abstractIn the second study, a new approximation method to obtain the ruin probability referring to the risk of insolvency of an insurance company is proposed by modifying the Pollaczek-Khinchin approximation. The proposed approximation is simpler and requires fewer assumptions than other methods mentioned in the literature. The results from a simulation study show that, in some cases, the proposed method gave better approximated ruin probability values in terms of the overall deviation from the exact values. Insurance companies are interested in calculating the initial capital using ruin probability, and so with this in mind, the proposed method was applied to estimate the minimum initial capital that needs to be reserved to ensure that the ruin probability does not exceed an acceptable quantity. To illustrate the performance of the approximation, the ruin probability and the minimum initial capital modeled by the AGEW distribution were estimated with a real-life dataset.th
dc.format.extent76 leavesth
dc.format.mimetypeapplication/pdfth
dc.identifier.doi10.14457/NIDA.the.2016.98
dc.identifier.otherb196945th
dc.identifier.urihttps://repository.nida.ac.th/handle/662723737/5226th
dc.language.isoength
dc.publisherNational Institute of Development Administrationth
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.th
dc.subjectRisk theoryth
dc.subjectSurplus processth
dc.subjectClaim processth
dc.subjectInfinite timeth
dc.subject.otherRiskth
dc.subject.otherInsuranceth
dc.titleClaims modeling with and alternative gamma-exponentiated weibull distribution and ruinprobability approximationth
dc.typetext--thesis--doctoral thesisth
mods.genreDissertationth
mods.physicalLocationNational Institute of Development Administration. Library and Information Centerth
thesis.degree.departmentSchool of Applied Statisticsth
thesis.degree.disciplineStatisticsth
thesis.degree.grantorNational Institute of Development Administrationth
thesis.degree.levelDoctoralth
thesis.degree.nameDoctor of Philosophyth
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