TIGA METODA UNTUK MENGHITUNG PELUANG RUIN

• Main Author: Jaya Permana, Ferry
• Format: Theses
• Language: Indonesia
• Subjects: Ilmu alam dan matematika
• Online Access: https://digilib.itb.ac.id/gdl/view/5077
• Institution: Institut Teknologi Bandung

<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 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 /> <br /> 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 />