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Simulating of ruin process of insurance company by Monte-Carlo method

Model of ruin of insurance company was considered in the paper. Parameters of premiums, paid losses and cancellation of policies were analysed. The distribution functions of premiums, paid losses and cancellation of policies contains in some classes of distribution. Risk process was generated as nonstationaryPoisson process. Monte-Carlo method was used for calculation the ruin probability. As an example a data of regional subsidiary activity of one insurance company in 2004 year is analysed by CMTPL portfolio.