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:: Volume 11, Issue 1 (9-2017) ::
J. of Stat. Sci. 2017, 11(1): 17-36 Back to browse issues page
The Analysis of Infinite Time Ruin Probability in the Collective Risk Model
Abouzar Bazyari
Abstract:   (3996 Views)

The collective risk model of insurance company with constant initial capital when process of claims number have the poisson distribution with constant rate is considered. For computing the infinite time ruin probability the stochastic processes and differential equations are used. Also a formula is obtained to compute the Lundberg approximation in finding the approximate of infinite time ruin probability based on the distribution function of claims number. The numerical examples to illustrate these results are given and showed that for any value of initial capital the approximate of our infinite time ruin probability is closer to its real value rather than the ruin probability computed by other authors and has less error.

Keywords: Infinite time ruin probability, Differential equations, Collective risk model, Lundberg approximatio
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Type of Study: Research | Subject: Probabilty and Applications
Received: 2015/10/29 | Accepted: 2017/04/19 | Published: 2017/05/4
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Bazyari A. The Analysis of Infinite Time Ruin Probability in the Collective Risk Model. J. of Stat. Sci.. 2017; 11 (1) :17-36
URL: http://jss.irstat.ir/article-1-326-en.html

Volume 11, Issue 1 (9-2017) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences
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