ISSN 1392–124X (print), ISSN 2335–884X (online) INFORMATION TECHNOLOGY AND CONTROL
نویسندگان
چکیده
Abstract. In this work, we investigate a multi-risk model describing insurance business with two or more independent series of claim amounts. Each series of claim amounts consists of independent nonnegative random variables. Claims of each series occur periodically with some fixed inter-arrival time. Claim amounts occur until they can be compensated by a common premium rate and the initial insurer’s surplus. In this article, we derive a recursive formula for calculation of finite-time ruin probabilities. In the case of bi-risk model, we present a procedure to calculate the ultimate ruin probability. We add several numerical examples illustrating application of the derived formulas.
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ISSN 1392–124X (print), ISSN 2335–884X (online) INFORMATION TECHNOLOGY AND CONTROL
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متن کاملISSN 1392–124X (print), ISSN 2335–884X (online) INFORMATION TECHNOLOGY AND CONTROL
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