Department of Statistics, Faculty of Intelligent Systems Engineering and Data Science, Persian Gulf University, Bushehr, Iran
Abstract
In risk models, the ruin probabilities and Lundberg bound are calculated despite knowing the statistical distribution of random variables. In the present paper, for collective risk model and discrete time risk model of insurance company for independent and identically distributed claims with light-tailed distribution, the infinite time ruin probabilities are computed using Lund berg bound, moreover the general forms of density functions of random variables of claim sizes are derived. For some special cases in the discrete time risk model, the density functions of claim sizes have the shifted geometric distribution, and for the collective risk model, they always have an exponential distribution. Presenting the numerical examples of infinite time ruin probabilities and the simulated values of these probabilities and the Lundberg bound are the final results of this article.
Bazyari, A. (2022). Lundberg Bound for Computing the Ruin Probabilities and Density Functions
of Claim Sizes Random Variables. Andishe_ye Amari, 27(1), 1-10.
MLA
Bazyari, A. "Lundberg Bound for Computing the Ruin Probabilities and Density Functions
of Claim Sizes Random Variables", Andishe_ye Amari, 27, 1, 2022, 1-10.
HARVARD
Bazyari A. (2022). 'Lundberg Bound for Computing the Ruin Probabilities and Density Functions
of Claim Sizes Random Variables', Andishe_ye Amari, 27(1), pp. 1-10.
CHICAGO
A. Bazyari, "Lundberg Bound for Computing the Ruin Probabilities and Density Functions
of Claim Sizes Random Variables," Andishe_ye Amari, 27 1 (2022): 1-10,
VANCOUVER
Bazyari A. Lundberg Bound for Computing the Ruin Probabilities and Density Functions
of Claim Sizes Random Variables. Andishe_ye Amari. 2022;27(1):1-10 (In Persian).