Numerical Algorithm for the Stochastic Present Value of Aggregate Claims in the Renewal Risk Model
نویسنده
چکیده
For the stochastic present value of aggregate claims in the renewal risk model, a numerical algorithm is constructed based on the Monte Carlo and random process principle. The basic idea and design process of this algorithm is detailed. The numerical simulation results show that it is consistence with the theory analysis result under different parameter different distribution. The numerical algorithm results can directly see the ruin probability of this renewal risk model, to develop support in the actual decision.
منابع مشابه
A Modified Benders Decomposition Algorithm for Supply Chain Network Design under Risk Consideration
In today’s competitive business environment, the design and management of supply chainnetwork is one of the most important challenges that managers encounter. The supply chain network shouldbe designed for satisfying of customer demands as well as minizing the total system costs. This paper presentsa multi-period multi-stage supply chain network design problem under demand uncertainty. The prob...
متن کاملUniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of Pareto type, we obtain a simple asymptotic formula which holds uniformly for all time horizons. The same...
متن کاملA multi-stage stochastic programming for condition-based maintenance with proportional hazards model
Condition-Based Maintenance (CBM) optimization using Proportional Hazards Model (PHM) is a kind of maintenance optimization problem in which inspections of a system relevant to its failure rate depending on the age and value of covariates are performed in time intervals. The general approach for constructing a CBM based on PHM for a system is to minimize a long run average cost per unit of time...
متن کاملDeveloping numerical algorithm and a new program for simulating alkali aggregate reaction in mass concrete
Nowadays, Alkali Aggregate Reaction is considered as one of the most dangerous weak points of concrete and its occurrence has been widely reported in various structures. In the current study, a program is developed for predicting and examining the effects of mentioned reaction on the three-dimensional analysis of concrete structures such as arch dams. In this regard, a program provided for dam ...
متن کاملBenders Decomposition Algorithm for Competitive Supply Chain Network Design under Risk of Disruption and Uncertainty
In this paper, bi-level programming is proposed for designing a competitive supply chain network. A two-stage stochastic programming approach has been developed for a multi-product supply chain comprising a capacitated supplier, several distribution centers, retailers and some resellers in the market. The proposed model considers demand’s uncertainty and disruption in distribution centers and t...
متن کامل