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Comparison of Ruin Probabilities in Compound Poisson Risk Model
Mathematics Faculty, Otero Junior College, La Junta, USA
- 1 Mathematics Faculty, Otero Junior College, La Junta, USA
Open Journal of Statistics·Volume 09 (2019)·Pages 41–47·Published 18 January 2019·DOI10.4236/ojs.2019.91004
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Abstract
Compound Poisson risk model has been simulated. It has started with exponential claim sizes. The simulations have checked for infinite ruin probabilities. An appropriate time window has been chosen to estimate and compare ruin probabilities. The infinite ruin probabilities of two - compound Poisson risk process have estimated and compared them with standard theoretical results.
KeywordsCompound Poisson Risk ModelRuin Probabilities ComparisonSimulationsTheoretical Results
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