Comparison of Ruin Probabilities in Compound Poisson Risk Model - Open Journal of Statistics

OJS > Vol.9 No.1, February 2019

Comparison of Ruin Probabilities in Compound Poisson Risk Model ()

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DOI: 10.4236/ojs.2019.91004 876 Downloads 2,040 Views Citations

Author(s)

Dol Nath Khanal

Affiliation(s)

Mathematics Faculty, Otero Junior College, La Junta, USA.

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.

KEYWORDS

Compound Poisson Risk Model, Ruin Probabilities Comparison, Simulations, Theoretical Results

Share and Cite:

Khanal, D. (2019) Comparison of Ruin Probabilities in Compound Poisson Risk Model. Open Journal of Statistics, 9, 41-47. doi: 10.4236/ojs.2019.91004.

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