Comparison of Ruin Probabilities in Compound Poisson Risk Model

• 作者: Dol Nath Khanal
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: COMPOUND POISSON Risk Model RUIN Probabilities COMPARISON Simulations THEORETICAL RESULTS
• 年，卷（期）: 2019,（1）
• 页码范围: 41-47
• 页数: 7页
• 分类号: O21

摘要

Compound Poisson risk model has been simulated. It has started with exponential claim sizes. The simulations have checked for infinite ruin probabilities. An appropriate time window has been chosen to estimate and compare ruin probabilities. The infinite ruin probabilities of two-compound Poisson risk process have estimated and compared them with standard theoretical results.