Βέλτιστη αντασφάλιση και θεωρία χρεοκοπίας

Παπαδοπούλου, Μαρία Ι.

Optimal reinsurance and ruin theory

Master Thesis

Author

Παπαδοπούλου, Μαρία Ι.

Date

2017-05

Abstract

Risk theory studies all aspects of a loss insurance portfolio. In this wide area, the ruin theory focuses on the long-term ruin of an insurance company with a loss insurance portfolio. Another part of risk theory deals with the reinsurance process, in which an insurance company transfers a part or all risk to another insurance company, which is called Reinsurance Company. Reinsurance theory and ruin theory are parts of the risk theory and are closely connected. Ruin theory has been studies for over a century. At the beginning of the 20th century, Swedish actuarialists Lundberg and Cramer created the fundamental elements of the classical model of risk of continuing time. This model has been widely expanded during the past century. Andersen greatly improved the Cramer-Lundberg model in 1957, when he considered as a renewal process the process of the arriving demands. Recently, Gerber & Shiu, at 1998, reviewed the ruin theory with the expected discounted penalty function. The Gerber-Shiu function allows the analysis of ruin measures, such as: the ruin probability, the surplus's behavior in ruin cases and others. In the present study, therefore, the classic model of risk theory and the reinsurance will be analyzed. Moreover, in chapters 3 and 4, there will be a further study of the R coefficient of adjustment with reinsurance. Then, in Chapter 5 there will be a reference in the Gerber - Shiu function with analog reinsurance.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

125

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/10883

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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