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Selected Problems Involving The Probability Of Ruin For An Insurance Company, Andrew J. Schafer
Selected Problems Involving The Probability Of Ruin For An Insurance Company, Andrew J. Schafer
Presidential Scholars Theses (1990 – 2006)
In the actuarial science literature, an insurance company is said to be ruined if, at some time t > 0, the aggregate claims up to time t exceed the sum of the initial surplus and the total premium collected up to time t. The calculation and/or estimation of the probability of ruin is of fundamental importance. In this paper we use computer simulation to estimate the probabilities of ruin over a finite horizon of time when the aggregate claims process is Compound Poisson and the distribution of the claim sizes is: (i) Weibull, and (ii) exponential with a random parameter. The …