Amir T. Payandeh Najafabadi A Hyperexponential Approximation to FiniteTime and InfiniteTime Ruin Probabilities of Compound Poisson Processes
18 - 25
2017
11
1
International Journal of Mathematical, Computational, Physical, Electrical and Computer Engineering http://waset.org/publications/10006198
http://waset.org/publications/121
World Academy of Science, Engineering and Technology
This article considers the problem of evaluating
infinitetime (or finitetime) 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 infinitetime (or finitetime) ruin probability as a solvable
ordinary differential equation (or a partial differential equation).
Application of our findings has been given through a simulation study.
International Science Index 121, 2017