| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076606 | Insurance: Mathematics and Economics | 2014 | 21 Pages |
Abstract
Ruin capital is a function of premium rate set to render the probability of ruin within finite time equal to a given value. The analytical studies of this function in the classical Lundberg model of risk with exponential claim sizes done in Malinovskii (2014) have shown that the ruin capital's shape is surprisingly simple. This work presents the results of related simulation studies. They are focused on the question whether this shape remains similar in Sparre Andersen's model of risk.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Vsevolod K. Malinovskii, Ksenia O. Kosova,