A review of ruin probability models
Fullilove, Brian James
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The probability that an insurance company can go bankrupt is a crucial quantity to be able to calculate. There are many ways to calculate such a probability. For example, we could model the arrival of the claims with a Poisson process. Alternatively, we could use a random walk in order to model the effects that claims have on an insurance company's surplus. The distribution of the claim sizes also could have an effect on the model. An additional model can use random walks with dependent steps in the form of a time series. This paper seeks to introduce several of the available models and contains the results of a simulation of one of Veraverbeke's (1977) results.