Comparison of Ruin Probabilities in Compound Poisson Risk Model

Author: Dol Nath Khanal

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.


Journal: Open Journal of Statistics
DOI: 10.4236/ojs.2019.91004(PDF)
Paper Id: 90193 (metadata)

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