Excellence in Research and Innovation for Humanity

Amir T Payandeh Najafabadi

Publications

2

Publications

2
10006198
A Hyperexponential Approximation to Finite-Time and Infinite-Time Ruin Probabilities of Compound Poisson Processes
Abstract:
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.
Keywords:
Ruin probability, compound Poisson processes, mixture exponential (hyperexponential) distribution, heavy-tailed distributions.
1
10006276
A Hyperexponential Approximation to Finite-Time and Infinite-Time Ruin Probabilities of Compound Poisson Processes
Abstract:
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.
Keywords:
Ruin probability, compound Poisson processes, mixture exponential (hyperexponential) distribution, heavy-tailed distributions.