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Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN Imprimir: 1064-2315
ISSN En Línea: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/J Automat Inf Scien.v37.i4.70
pages 48-57

On Calculation of Probability of Bankruptcy for a Non-Poisson Risk Process by the Method of Successive Approximations

Bogdan V. Norkin
V.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev, Ukraine

SINOPSIS

Generalizations of the model of a classic risk process, describing evolution of capital of insurance company, associated with a non-Poisson flow of insurance claims and nonlinear capital growth, is considered. An integral equation for determination of bancruptcy probability is derived. Possibility of application of the method of successive approximations for solution of this equation is studied.


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