2019•Open Journal of StatisticsOpen access

Comparison of Ruin Probabilities in Compound Poisson Risk Model

Dol Nath Khanal

Abstract

Compound Poisson risk model has been simulated. It has started with exponential claim sizes. The simulations have checked for infinite ruin probabilities. An appropriate time window has been chosen to estimate and compare ruin probabilities. The infinite ruin probabilities of two-compound Poisson risk process have estimated and compared them with standard theoretical results.

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Key concepts: Ruin theory, Poisson distribution, Mathematics, Zero-inflated model, Compound Poisson process, Risk model, Statistics, Applied mathematics