Work

The mixed negative binomial process risk model with small claims stochastic process and ruin probability

Year: 2025

Type: article

Abstract: If the random variable changes with time, we can consider it a stochastic process. The stochastic claims process is particularly important in insurance, where the frequency of claims is a random variable. Classical risk models typically assume that the number of claims by insurance companies follows an (a, b, 0) type distribution. In practice, however, the number of claims is often an over-dispersed or heavy-tailed phenomenon. To compensate for this deficiency, mixed distributions have been proposed. This article discusses the lapse probability of a general compound mixed negative binomial small claims process risk model based on a negative binomial mixture distribution.

Source: Thermal Science

DOI: 10.2298/tsci2503041y

Authors: Hiufang Yuan, Min Xiao

Institutions: Zaozhuang University, Zhejiang Gongshang University

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $161

Funders: Zhejiang Gongshang University, National Natural Science Foundation of China, Zaozhuang University