D:\sbornik\...\tpel.DVI


Mathematical Problems of Computer Science 36, 70{78, 2012.

N ew Repr esentation for N on Ruin P r obability of

I nsur ance M odel with Rent Contr acts and I ts

Application for Assessment of Cr itical Risks

A r t a k R . Ma r t ir o s ya n

Institute for Informatics and Automation Problems of NAS of RA

e-mail: artakm81@inbox.ru

Abstract

The paper considers the particular solution of one integro-di®erential equation of
insurance risk theory. New representation for that solution is found, which is used
for assessment of critical risks of the insurance companies that conduct purely rent
operations. The critical risks are found in the case of a heavy tra±c and regular tail
variation of the insurance premiums distribution function.

Keywords: Insurance, rent, regular variation, heavy tra±c, critical risks, integro-
di®erential equation.

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