NUMERICAL EVALUATION OF RUIN PROBABILITY IN INSURANCE COMPANY

被引：0

作者：

Serban, Radu ^{[1
]}

Mircea, Iulian ^{[1
]}

Covrig, Mihaela ^{[1
]}

机构：

[1] Acad Econ Studies, Bucharest, Romania

来源：

ROMANIA WITHIN THE EU: OPPORTUNITIES, REQUIREMENTS AND PERSPECTIVES, VOL III: SECTION 3: FINANCE - BANKING - ACCOUNTING | 2007年

关键词：

ruin probability; risk process; adjustment coefficient; martingale; sub-exponential distribution;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we present some methods for the evaluation of ruin probability in the insurance risk process. We discuss the ruin probability with respect to the parameters of the individual claim distribution, with the load factor of premium and with the intensity of the claims number process. We analyze the model where the input (premium) are found on the basis of the mean value principle. Also, we attempt the case when the initial capital is proportional to the value of the mean individual claim.

引用

页码：325 / 329

页数：5

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