RUIN PROBABILITY IN CLASSICAL RISK PROCESS WITH WEIBULL CLAIMS DISTRIBUTION

Abstract

In the classical risk process, ruin is the situation when the surplus process falls to zero or below. To predict the ruin, ruin probability can be estimated to avoid the probability of bankruptcy in an insurance company. Moreover, the ruin probability is calculated through survival probability, which when ruin does not occur. In case where the function is of exponential order, the ruin probability is calculated using the Laplace transform. In other case, numerical approximations such as Euler’s method and Trapezoidal rule is used. Ruin and survival probability show that when the survival probability moves to 1, the ruin probability moves to 0.