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Comparison of Ruin Probabilities in Compound Poisson Risk Model

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Document pages: 7 pages

Abstract: Compound Poisson risk model has been simulated. It has started with exponential claimsizes. The simulations have checked for infinite ruin probabilities. Anappropriate time window has been chosen to estimate and compare ruin probabilities.The infinite ruin probabilities of two-compound Poisson risk process have estimated andcompared them with standard theoretical results.

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