Vestnik Sankt-Peterburgskogo Universiteta. Seriya 10. Prikladnaya Matematika. Informatika. Protsessy Upravleniya
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Vestnik Sankt-Peterburgskogo Universiteta. Seriya 10. Prikladnaya Matematika. Informatika. Protsessy Upravleniya, 2011, Issue 3, Pages 39–46 (Mi vspui44)  

Applied mathematics

A calculation of some unruin kharacteristics of an insurance company by Lundberg’s model

V. N. Igolkin

St. Petersburg State University, Faculty of Applied Mathematics and Control Processes
References:
Abstract: The following three problems are considered in the article: 1) calculation of the sequence $P_n(u)$ an unruin probability at the step $n$ and $u$ an initial capital; 2) calculation $P_t(u)$ an unruin probability before a moment $t$ and $u$ an initial capital; 3) calculation an unruin probability $P(u)$ as a solution of a difference equation, when the distribution functions are given as gistogramms. Some numerical examples are given.
Keywords: unruin probability, Lundberg’s model, unruin probability before a moment $t$, difference equation.

Accepted: March 10, 2011
Document Type: Article
UDC: 519.95
Language: Russian
Citation: V. N. Igolkin, “A calculation of some unruin kharacteristics of an insurance company by Lundberg’s model”, Vestnik S.-Petersburg Univ. Ser. 10. Prikl. Mat. Inform. Prots. Upr., 2011, no. 3, 39–46
Citation in format AMSBIB
\Bibitem{Igo11}
\by V.~N.~Igolkin
\paper A calculation of some unruin kharacteristics of an insurance company by Lundberg’s model
\jour Vestnik S.-Petersburg Univ. Ser. 10. Prikl. Mat. Inform. Prots. Upr.
\yr 2011
\issue 3
\pages 39--46
\mathnet{http://mi.mathnet.ru/vspui44}
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    Âåñòíèê Ñàíêò-Ïåòåðáóðãñêîãî óíèâåðñèòåòà. Ñåðèÿ 10. Ïðèêëàäíàÿ ìàòåìàòèêà. Èíôîðìàòèêà. Ïðîöåññû óïðàâëåíèÿ
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