igotnobrains
03-22-2016, 09:28 AM
A surplus process is simulated. Initial surplus is 2000. Premiums of c are collected continuously. Loses occur in a Poisson process with a rate of 3 per year. The process is simulated for one year by simulating inter-arrival times. Loss sizes have a Weibull distribution with distribution given by file:///C:/Users/User/AppData/Local/Temp/msohtmlclip1/01/clip_image002.png.
Use the 1st column of the random table to simulate inter-arrival time and 3rd column to simulate the loss size, estimate the premium, c required to avoid ruin within one year.
Using Monte Carlo simulation to provide an interval estimate of c such that the avoidance of ruin within ten year with probability 99% or more and the range of estimates should not exceed 0.1% of the estimate.
Use the 1st column of the random table to simulate inter-arrival time and 3rd column to simulate the loss size, estimate the premium, c required to avoid ruin within one year.
Using Monte Carlo simulation to provide an interval estimate of c such that the avoidance of ruin within ten year with probability 99% or more and the range of estimates should not exceed 0.1% of the estimate.