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Title
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محاسبه احتمال ورشكستگي زمان نامتناهي در مدل مخاطره انفرادي با استفاده از قدم هاي تصادفي
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Type
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Presentation
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Keywords
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مدل مخاطره انفرادي، اندازه خسارتها، احتمال ورشكستگي
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Abstract
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In the individual risk model, the total claims on a portfolio of insurance contracts is the random
variable of interest. The paper studies an individual risk model of insurance policy with dependence
structure between claim sizes and occurrence times. The Exponential estimate of in nite time ruin prob-
ability with large initial capital is computed using the random walk, Blackwell's renewal theorem and
copula function when the claim sizes are distributed as light tailed distribution. An example is presented
and computed the values of ruin probabilities.
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Researchers
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Abouzar Bazyari (First researcher) , Mahmoud Afshari (Second researcher) ,
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