Applied mathematics

A calculation of some unruin kharacteristics of an insurance company by Lundberg’s model

V. N. Igolkin

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

Abstract: The following three problems are considered in the article: 1) calculation of the sequence $P_n(u)$ an unruin probability at the step $n$ and $u$ an initial capital; 2) calculation $P_t(u)$ an unruin probability before a moment $t$ and $u$ an initial capital; 3) calculation an unruin probability $P(u)$ as a solution of a difference equation, when the distribution functions are given as gistogramms. Some numerical examples are given.

Keywords: unruin probability, Lundberg’s model, unruin probability before a moment $t$, difference equation.

UDC: 519.95


Accepted: March 10, 2011