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Calculation of an insurance company total assets

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Reference no: EM13830275

Problem:

Let Sn be the total assets of an insurance company at the end of year n. Suppose that in year n the company receives premiums of c and pays claims totaling ξn, where ξn are independent with Normal (µ, σ2) distribution, where 0 < µ < c. The company is ruined if its assets fall to 0 or below. Show

P (ruin) ≤ exp(-2(c - µ)S0/σ2)

Summary of problem:

This question is basically from Mathematics and it deals with calculation of an insurance company's total assets.

Reference no: EM13830275

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