Evaluation of the probability of bankruptcy for a model of insurance company

  • B. V. Bondarev
  • T. V. Zhmykhova

Abstract

A problem of calculating the probability of ruin of an insurance company in infinite number of steps is considered in the case where this company is able to invest its capital to a bank deposit at every time. As a distribution describing claim amounts to the insurance company, the gamma distribution with parameters $n$ and $\alpha$ is chosen.
Published
25.04.2007
How to Cite
BondarevB. V., and ZhmykhovaT. V. “Evaluation of the Probability of Bankruptcy for a Model of Insurance Company”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, no. 4, Apr. 2007, pp. 447–457, https://umj.imath.kiev.ua/index.php/umj/article/view/3319.
Section
Research articles