Simulation Method using Ruin Probability Estimation in Insurance Model with Copula Dependence

Abstract

In this paper we will build the theoretical basis for the simulation of the probability of the insurance model with a sequence of copula dependent random variables.

The aim of this paper is used Monte Carlo methods to apporoximate the ruin probabilities for generalized risk processes under interest force with claim amounts and premium amounts are copula dependent random variables. Finally, there are numerical illustrations.

 Keywords: Simulation, Ruin probability, Copula dependence, Monte Carlo Method, Claim amounts, Premium amounts