TITLE:
Comparison of Ruin Probabilities in Compound Poisson Risk Model
AUTHORS:
Dol Nath Khanal
KEYWORDS:
Compound Poisson Risk Model, Ruin Probabilities Comparison, Simulations, Theoretical Results
JOURNAL NAME:
Open Journal of Statistics,
Vol.9 No.1,
January
25,
2019
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.