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Vestnik Sankt-Peterburgskogo Universiteta. Seriya 10. Prikladnaya Matematika. Informatika. Protsessy Upravleniya, 2011, Issue 3, Pages 39–46
(Mi vspui44)
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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
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
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
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https://www.mathnet.ru/eng/vspui44 https://www.mathnet.ru/eng/vspui/y2011/i3/p39
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Abstract page: | 184 | Full-text PDF : | 60 | References: | 35 | First page: | 5 |
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