Abstract:
The Weibull and Pareto distributions are commonly used in the insurance
industry because they effectively model different aspects of risk and loss
also their ability to model a wide range of risk case effectively. The
calculation of ruin probability can be used to estimate and anticipate
insurance companies from bankruptcy. One of the models to calculate ruin
probability is classical risk process, in classical risk process a company
considered bankrupt when the surplus process falls to zero or below. In
this thesis, the calculation of ruin probability will calculated through
survival probability using numerical approximations that is Euler’s
method and Trapezoidal rule. The claim data from vehicle insurance be
assumed to be Weibull and Pareto distributed and to get the maximum
parameter value will use the Maximum Likelihood Estimation method.
The result show the Pareto distribution yields a higher ruin probability
compared to the Weibull distribution
