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:: Volume 27, Issue 1 (3-2023) ::
Andishe 2023, 27(1): 1-10 Back to browse issues page
Lundberg Bound for Computing the Ruin Probabilities and Density Functions of Claim Sizes Random Variables
Abouzar Bazyari *
Department of Statistics, Persian Gulf University, Bushehr, Iran
Abstract:   (403 Views)
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 Lundberg 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.
Keywords: Exponential distribution, Infinite time ruin probability, Lundberg bound, Risk model, Shifted geometric distribution.
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Type of Study: Research | Subject: Special
Received: 2022/09/5 | Accepted: 2023/03/1 | Published: 2023/03/10
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Bazyari A. Lundberg Bound for Computing the Ruin Probabilities and Density Functions of Claim Sizes Random Variables. Andishe 2023; 27 (1) :1-10
URL: http://andisheyeamari.irstat.ir/article-1-894-en.html

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Volume 27, Issue 1 (3-2023) Back to browse issues page
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