Applied mathematics

A markovian variant of Lundberg–Cramer's model of insurance company ruin

V. N. Igolkin

St. Petersburg State University, Faculty of Applied Mathematics and Control Processes

Abstract: The model permits to compute $P(u)$ unruin probability of an insurance company with an initial capital $u$. Beforehand some auxiliary values must be found as a solution of a system of integral equations. The Laplase transform is used for this purpose. Some unknown constants appears in this case. It is shown, how to find this constants. There are some numerical examples.

Keywords: Markovian variant of the Lundber's model, ruin probability, Laplase transform, unknown constants of the transform.

UDC: 519.95


Accepted: October 20, 2011