Let the parameters be the following: the gross premium rate c = 50 per time unit,...

 

Transcribed Image Text:

Let the parameters be the following: the gross premium rate c = 50 per time unit, intensity a = 20 claims per time unit, the mean of exponential claim sizes μ = 2. For initial capitals U= u = 0, 10, 20, 50, 100, 200, 500, 10³,..., 104, sketch the ruin probabilities with initial capital as argument, calculate the ruin probability (u) (use the exact formula for exponential claims). For the exponential claims, what is the constant C in the Cramer-Lundberg ruin bound, limu→∞ eu(u) = C? Calculate C. Let the parameters be the following: the gross premium rate c = 50 per time unit, intensity a = 20 claims per time unit, the mean of exponential claim sizes μ = 2. For initial capitals U= u = 0, 10, 20, 50, 100, 200, 500, 10³,..., 104, sketch the ruin probabilities with initial capital as argument, calculate the ruin probability (u) (use the exact formula for exponential claims). For the exponential claims, what is the constant C in the Cramer-Lundberg ruin bound, limu→∞ eu(u) = C? Calculate C.

Answer rating: 100% (QA)

Solution The probability model is given as 0 u 46 P UT The set up here ... View the full answer