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2. Consider the Cramér-Lundberg model with time horizon T > 0. a) Design and implement an algorithm to compute the proba
Posted: Tue Jul 12, 2022 11:53 am
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- 2 Consider The Cramer Lundberg Model With Time Horizon T 0 A Design And Implement An Algorithm To Compute The Proba 1 (38.74 KiB) Viewed 32 times
2. Consider the Cramér-Lundberg model with time horizon T > 0. a) Design and implement an algorithm to compute the probability that the total claim amount at time T exceeds a bound s> 0. b) Design and implement an algorithm for the simulation and visualization of trajectories of the contingency reserve (R₁)[0.7]. c) Design and implement an algorithm for the computation of ruin probabilities. In a), b), c) you should use, in particular, the Pareto distribution, the lognormal distribution, and the gamma distribution for the claim amounts; compare the results.