Title :
Some Methods Used in the Estimation of the Ruin Probability
Author :
Mircea, Iulian ; Covrig, Mihaela
Author_Institution :
Dept. of Math., Acad. of Economic Studies from Bucharest (ASE Bucuresti), Bucharest, Romania
Abstract :
The ruin probability of an insurance company is one of the main issues in actuarial mathematics. In the classical Poisson model of the risk theory there exist analytic expressions for the ruin probability, but in other risk models, there are not. For this, researchers try to find upper and lower bounds, and better approximations. In this paper, we discuss some methods of estimating it: De Vylder, Beekman-Bowers, Cramer-Lundberg, Grandell, Renyi, Tijms, Willmot, and the diffusion approximation which can be obtained approximating the risk process by a Brownian motion with drift.
Keywords :
Brownian motion; insurance; stochastic processes; Brownian motion; Poisson model; actuarial mathematics; diffusion approximation; insurance company; risk theory; ruin probability estimation; Aggregates; Companies; Computational modeling; Computer simulation; Econometrics; Insurance; Mathematical model; Mathematics; Motion estimation; Random variables; Berry-Esséen approximations; Brownian motion; diffusion approximation; risk process; ruin probability;
Conference_Titel :
Computer Modeling and Simulation, 2010. ICCMS '10. Second International Conference on
Conference_Location :
Sanya, Hainan
Print_ISBN :
978-1-4244-5642-0
Electronic_ISBN :
978-1-4244-5643-7
DOI :
10.1109/ICCMS.2010.333
