Ruin Theory
Ruin Theory models the stochastic surplus process of an insurance company to quantify the probability that accumulated losses eventually exceed available capital. Introduced by Filip Lundberg in his 1903 doctoral thesis and rigorously unified by Harald Cramér in 1930, the classical Cramér-Lundberg model assumes premiums arrive at a constant rate, claims follow a compound Poisson process, and individual claim sizes are independent and identically distributed. It remains the foundational framework of collective risk theory in actuarial science.
Rekodi ya chanzo
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- Asmussen, S., & Albrecher, H. (2010). Ruin Probabilities (2nd ed.). World Scientific. · ISBN 978-981-4282-52-9
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