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Information Journal Paper

Title

THE ANALYSIS OF INFINITE TIME RUIN PROBABILITY IN THE COLLECTIVE RISK MODEL

Author(s)

 BAZYARI ABOUZAR

Pages

  17-36

Abstract

 The COLLECTIVE RISK MODEL of insurance company with constant initial capital when process of claims number have the poisson distribution with constant rate is considered. For computing the INFINITE TIME RUIN PROBABILITY the stochastic processes and DIFFERENTIAL EQUATIONS are used. Also a formula is obtained to compute the LUNDBERG APPROXIMATIOn in finding the approximate of INFINITE TIME RUIN PROBABILITY based on the distribution function of claims number. The numerical examples to illustrate these results are given and showed that for any value of initial capital the approximate of our INFINITE TIME RUIN PROBABILITY is closer to its real value rather than the ruin probability computed by other authors and has less error.

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    Cite

    APA: Copy

    BAZYARI, A. (2017). THE ANALYSIS OF INFINITE TIME RUIN PROBABILITY IN THE COLLECTIVE RISK MODEL. JOURNAL OF STATISTICAL SCIENCES, 11(1 ), 17-36. https://sid.ir/paper/124083/en

    Vancouver: Copy

    BAZYARI ABOUZAR. THE ANALYSIS OF INFINITE TIME RUIN PROBABILITY IN THE COLLECTIVE RISK MODEL. JOURNAL OF STATISTICAL SCIENCES. 2017 [cited 2023January30];11(1 ):17-36. Available from: https://sid.ir/paper/124083/en

    IEEE: Copy

    BAZYARI, A., 2017. THE ANALYSIS OF INFINITE TIME RUIN PROBABILITY IN THE COLLECTIVE RISK MODEL. JOURNAL OF STATISTICAL SCIENCES, [online] 11(1 ), pp.17-36. Available: https://sid.ir/paper/124083/en.






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