## Ruin Probability in the Discrete-time Model of the Insurer's Surplus |

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adjustment coefficient aggregate amount amount of claims assume claim amounts claims occured compound Poisson compound Poisson distribution continuous-time model continuous-time sense cumulative distribution function defined discrete-time model discrete-time sense diversification effect diversification of risks ECONOMIC DISCUSSION PAPERS equation expected value exponential distribution FACULTY OF ECONOMIC formula frequency of solvency gamma distribution hazard function identically distributed infinitely divisible initial surplus insurer's free assets insurer's surplus interval h kurtosis lenght h lower bound Lundberg inequality marginal contribution model of insurer's mutually independent non-decreasing non-negative normal approximation normal distribution normal variable numerical methods obtaining exact results overestimates the ruin parameters period of lenght portfolio of risks positive roots premium calculation presumed level probability of ruin random variable returns to scale right hand side risk pricing ruin probability ruin theory safety margin Shifted Gamma short term criterion solidarity component solution surplus process University of Warsaw upper bound values of h variance Wiener process zero