TIGA METODA UNTUK MENGHITUNG PELUANG RUIN
<b>Abstract:<p align="justify"> <br /> <br /> The first method, the method of upper and lower bounds, uses the connection between the probability of ruin and the maximal aggregate loss random variable. <br /> <br /> The second method, the claim amo...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/5077 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | <b>Abstract:<p align="justify"> <br />
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The first method, the method of upper and lower bounds, uses the connection between the probability of ruin and the maximal aggregate loss random variable. <br />
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The second method, the claim amount distribution is supposed to be a combination of exponential or translated exponential distributions. The main problem is to determined the nontrivial of equation that defines the adjusment coefficient. <br />
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For the third method, simulation, one observes that the probability of ruin is related to the stationary distribution of a certain associated process. Thus it can be determined by a single simulation of the latter. <br />
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