Metode Konvolusi Dalam Menghitung Peluang Kebangkrutan Suatu Perusahaan Asuransi

Abstract

Calculating ruin probability is required by Insurer in designing portofolio for knowing risk values in portofolio. Convolution method in calculating ruin probability focused in surplus process that is U_n. U_n only depands on U_n-1 state. Then convolution method is expanded by evaluating ruin probability of finite time discrete horizon. While it was capability using this method, all random variables of distribution must be used discrate.