TY - JFULL
AU - Amir T. Payandeh Najafabadi
PY - 2017/2/
TI - A Hyperexponential Approximation to Finite-Time and Infinite-Time Ruin Probabilities of Compound Poisson Processes
T2 - International Journal of Mathematical, Computational, Physical, Electrical and Computer Engineering
SP - 17
EP - 25
EM - amirtpayandeh@sbu.ac.ir
VL - 11
SN - 1307-6892
UR - http://waset.org/publications/10006198
PU - World Academy of Science, Engineering and Technology
NX - International Science Index 121, 2017
N2 - This article considers the problem of evaluating
infinite-time (or finite-time) ruin probability under a given compound
Poisson surplus process by approximating the claim size distribution
by a finite mixture exponential, say Hyperexponential, distribution. It
restates the infinite-time (or finite-time) ruin probability as a solvable
ordinary differential equation (or a partial differential equation).
Application of our findings has been given through a simulation study.
ER -