Analisis Penyelesaian Integrasi Perkalian dalam Membentuk Model Peluang Kebangkrutan Suatu Perusahaan Asuransi

Yuli Andriani

Abstract


Traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Product integration can be used in such situations to yield fast and accurate estimates of ruin probabilities. Since product integration uses quadrature weights suited to the underlying distribution. Especially when claims risk model are from a heavy-tailed distribution, such as Weibull distribution.


Full Text:

PDF

References


Andriani, Y., 2005, Simulasi peluang ruin pada distribusi kombinasi eksponensial, JPS FMIPA UNSRI, Sumatera Selatan

Dickson, D.C.M., 1989, Recursive calculation of the probability and severity of ruin. J. Insurance: Mathematics and Economics, 8, hal. 145-148

Panjer, H.H., 1986, Direct calculation of ruin probabilities, J. Risk and Insurance, 53, hal. 521-429

Ramsay, C.M., 1992, A practical algorithm for approximating the probability of ruin, Transactions of the Society of Actuaries, XLIV, hal. 443-459

Bowers, N.L., H.U. Gerber, J.C. Hickman, D.A. Jones, and C.J. Nesbitt, 1997, Actuarial Mathematics, Ithasca III: Society of Actuaries, hal. 417-430

Delves, L.M. dan J.L. Mohamed, 1989, Computational Methods for Integral Equations, Cambridge University Press, Cambridge

Linz, P., 1985, Analytical and Numerical Methods for Volterra Equations, Pa.: SIAM Studies in Applied Mathematics, Philadelphia

Goovaerts, M. dan F. De Vylder, 1984, A stable recursive algorithm for evaluation of ultimate ruin probabilities, J. Astin Bulletin, 14, hal. 53-59




DOI: https://doi.org/10.56064/jps.v12i3.164

Refbacks

  • There are currently no refbacks.


   

  

 

 

Creative Commons License

Jurnal Penelitian Sains (JPS) Published by UP2M, Faculty of Mathematic and Natural Science Sriwijaya University is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

 

View My Stats