Ruin Probability in the Cramér-Lundberg Model: A Monte Carlo Study

2026 Preprint Open access

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Authors: Yeva Butovska
DOI: 10.17605/osf.io/ct8nk
Cited by: 0

Abstract

R-based Monte Carlo simulation of insurance ruin probability under the Cramér-Lundberg model. Validates results against exact analytical formulas and the actuar R package. Includes sensitivity analysis on safety loading and claim size distributions.

Fields of Study & Subjects

Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

Publication details

Publication date
1 January 2026
Language
EN
Document type
Preprint