An Algorithm to Compute the Probability of Ruin of an Insurance Company

被引：0
|
作者：
Lukashov, Alexey L. [1 ,2 ]
机构：
[1] Moscow Inst Phys & Technol, Moscow, Russia
[2] Saratov NG Chernyshevskii State Univ, Saratov, Russia
来源：
INTERNATIONAL CONFERENCE ON ANALYSIS AND APPLIED MATHEMATICS (ICAAM 2020) | 2021年 / 2325卷
关键词：
D O I：
10.1063/5.0040355
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In [1] two-sided bounds were derived for the probability of ruin of an insurance company, whose premium income is represented by an arbitrary increasing real function, the claims are dependent, integer valued r.v.s. and their inter-occurrence times are exponentially, non-identically distributed. Here we give an explicit algorithm to compute that probability.
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