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Won, Ho Jeong;Choi, Seung Kyoung;Lee, Eui Yong
- Journal of the Korean Data and Information Science Society
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- v.24 no.1
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- pp.1-12
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- 2013
In this paper, we introduce a continuous-time risk model where the surplus follows a diffusion process with positive drift while being subject to two types of claims. We assume that the sizes of both types of claims are exponentially distributed and that type I claims occur more frequently, however, their sizes are smaller than type II claims. We obtain the ruin probability that the level of the surplus becomes negative, by establishing an integro-differential equation for the ruin probability. We also obtain the ruin probabilities caused by each type of claim and the probability that the level of the surplus becomes negative naturally due to the diffusion process. Finally, we illustrate a numerical example to compare the impacts of two types of claim on the ruin probability of the surplus with that of the diffusion process in the risk model.
https://doi.org/10.7465/jkdi.2013.24.1.1 인용 PDF KSCI

한국화재보험협회
- 방재와보험
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- s.141
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- pp.58-59
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- 2011
기후변화와 지구온난화 등으로 인한 기상이변으로 최근 50년간 집중호우일수가 50% 증가하고, 강우패턴 변화로 인한 기상재해 총 피해액은 연평균 2조 9천억 원에 달하는 등 풍수재로 인한 피해가 매년 급증하고 있다. 특히, 여름철에 발생되는 태풍이나 홍수에 의한 자연재해로 보험사고가 빈번하여, 이번 호에는 여름철 풍수재해 위험 관리 및 재해유형별 보험상식에 대하여 알아보고자 한다.
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