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Calculation of the probability of eventual ruin by Beekman's convolution series
Institution:1. Social and Business Research Laboratory, Rovira i Virgili University, Av. de la Universitat 1, 43204 Reus, Spain;2. Department of Mathematics for Economics, Finance and Actuarial Science. Faculty of Economics and Business. University of Barcelona, Av. Diagonal 690, 08034 Barcelona, Spain;1. School of Electrical and Electronic Engineering, College of Engineering, Yonsei University, Seoul 120749, South Korea;2. Key Laboratory of Nondestructive Test (Ministry of Education), Nanchang Hangkong University, Nanchang 330063, China
Abstract:This paper presents an algorithm for evaluating the probability of eventual ruin in a collective risk model. The method is based on Beekman's convolution series for the ruin probability. It is assumed that the claim number process is Poisson and the individual claim amounts take on integer values only.
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