Analisis Penyelesaian Integrasi Perkalian dalam Membentuk Model Peluang Kebangkrutan Suatu Perusahaan Asuransi

Yuli Andriani (Jurusan Matematika FMIPA, Universitas Sriwijaya, Sumatera Selatan)

Jurnal Penelitian Sains
Vol 12, No 3 (2009)

Traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Product integration can be used in such situations to yield fast and accurate estimates of ruin probabilities. Since product integration uses quadrature weights suited to the underlying distribution. Especially when claims risk model are from a heavy-tailed distribution, such as Weibull distribution.