A stochastic framework for ruin probabilities under time-changed Brownian motion
Communications in Statistics - Theory and Methods, 2026 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Basım Tarihi: 2026
- Doi Numarası: 10.1080/03610926.2026.2668471
- Dergi Adı: Communications in Statistics - Theory and Methods
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Applied Science & Technology Source, Compendex, MathSciNet, zbMATH, Academic Search Ultimate (EBSCO), Business Source Ultimate (EBSCO), Materials Science & Engineering Collection (ProQuest), Technology Collection (ProQuest)
- Anahtar Kelimeler: insurance risk model, normal inverse Gaussian (NIG) process, ruin probability, Stochastic processes, time-changed Brownian motion
- Hacettepe Üniversitesi Adresli: Evet
Özet
This study investigates ruin probabilities in the insurance sector using a time-changed Brownian motion framework. By incorporating a normal inverse Gaussian (NIG) process, the model overcomes the limitations of traditional models with deterministic time evolution. The proposed approach introduces a stochastic time component governed by an inverse Gaussian process, allowing a more flexible and realistic assessment of ruin probabilities. We also extend the model by incorporating reinsurance mechanisms, offering a comprehensive view of risk allocation. The results highlight the model’s robustness and practical relevance in both insurance and reinsurance contexts, contributing to the literature on advanced risk processes.