Investigation of a Non-Linear Cramér-Lundberg Risk Model

ALLYYEV, YUSUP; Khaniyev, Tahir; Mammadova, Zulfiyya

Investigation of a Non-Linear Cramér-Lundberg Risk Model

Zulfiye HANALİOGLU, (Karabük Üniversitesi, Aktüerya Bilimleri Bölümü, Karabük, Türkiye)

Yusup ALLYYEV, (TOBB Ekonomi ve Teknoloji Üniversitesi, Endüstri Mühendisliği Bölümü, Ankara, Türkiye)

Tahir KHANİYEV (TOBB Ekonomi ve Teknoloji Üniversitesi, Endüstri Mühendisliği Bölümü, Ankara, Türkiye)

Journal of the Turkish Operations Management (JTOM)

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Yıl: 2022 Cilt: 6 Sayı: 1 Sayfa Aralığı: 1065 - 1075 Metin Dili: İngilizce İndeks Tarihi: 06-01-2023

Investigation of a Non-Linear Cramér-Lundberg Risk Model

Öz:

In this study, a non-linear version of a Cramér-Lundberg risk model is examined. The objective of this work is to evaluate the ruin probability of a non-linear risk model. The classical linear Cramér-Lundberg model has been widely studied in the literature. However, the linear model is not always realistic. Because an insurance company's premium income cannot always increase linearly. Therefore, it is recommended to adapt premium income as a function which increases monotonically and yet its rate of growth decreases over time. Thus, to account for this, a more realistic non-linear mathematical model has been constructed and investigated, when the premium income function is p(t)=c√t. Then Lundberg type upper bound was calculated for the ruin probability for the model under investigation.

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APA	Mammadova Z, ALLYYEV Y, Khaniyev T (2022). Investigation of a Non-Linear Cramér-Lundberg Risk Model. , 1065 - 1075.
Chicago	Mammadova Zulfiyya,ALLYYEV YUSUP,Khaniyev Tahir Investigation of a Non-Linear Cramér-Lundberg Risk Model. (2022): 1065 - 1075.
MLA	Mammadova Zulfiyya,ALLYYEV YUSUP,Khaniyev Tahir Investigation of a Non-Linear Cramér-Lundberg Risk Model. , 2022, ss.1065 - 1075.
AMA	Mammadova Z,ALLYYEV Y,Khaniyev T Investigation of a Non-Linear Cramér-Lundberg Risk Model. . 2022; 1065 - 1075.
Vancouver	Mammadova Z,ALLYYEV Y,Khaniyev T Investigation of a Non-Linear Cramér-Lundberg Risk Model. . 2022; 1065 - 1075.
IEEE	Mammadova Z,ALLYYEV Y,Khaniyev T "Investigation of a Non-Linear Cramér-Lundberg Risk Model." , ss.1065 - 1075, 2022.
ISNAD	Mammadova, Zulfiyya vd. "Investigation of a Non-Linear Cramér-Lundberg Risk Model". (2022), 1065-1075.

APA	Mammadova Z, ALLYYEV Y, Khaniyev T (2022). Investigation of a Non-Linear Cramér-Lundberg Risk Model. Journal of the Turkish Operations Management (JTOM), 6(1), 1065 - 1075.
Chicago	Mammadova Zulfiyya,ALLYYEV YUSUP,Khaniyev Tahir Investigation of a Non-Linear Cramér-Lundberg Risk Model. Journal of the Turkish Operations Management (JTOM) 6, no.1 (2022): 1065 - 1075.
MLA	Mammadova Zulfiyya,ALLYYEV YUSUP,Khaniyev Tahir Investigation of a Non-Linear Cramér-Lundberg Risk Model. Journal of the Turkish Operations Management (JTOM), vol.6, no.1, 2022, ss.1065 - 1075.
AMA	Mammadova Z,ALLYYEV Y,Khaniyev T Investigation of a Non-Linear Cramér-Lundberg Risk Model. Journal of the Turkish Operations Management (JTOM). 2022; 6(1): 1065 - 1075.
Vancouver	Mammadova Z,ALLYYEV Y,Khaniyev T Investigation of a Non-Linear Cramér-Lundberg Risk Model. Journal of the Turkish Operations Management (JTOM). 2022; 6(1): 1065 - 1075.
IEEE	Mammadova Z,ALLYYEV Y,Khaniyev T "Investigation of a Non-Linear Cramér-Lundberg Risk Model." Journal of the Turkish Operations Management (JTOM), 6, ss.1065 - 1075, 2022.
ISNAD	Mammadova, Zulfiyya vd. "Investigation of a Non-Linear Cramér-Lundberg Risk Model". Journal of the Turkish Operations Management (JTOM) 6/1 (2022), 1065-1075.