Μελέτη προσεγγίσεων και φραγμάτων για ποσότητες που συνδέονται με την πιθανότητα χρεοκοπίας
Approximation and bounds for quantities associated with the ruin probability
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Ασφάλιση -- Μαθηματικά ; Μαθηματικά των επιχειρήσεων ; Insurance -- Mathematics ; Business mathematicsAbstract
Actuarial Science uses mathematical models to describe the portfolios' solvency of an insurance company. In such models, basic quantities of interest are ruin probability, the surplus immediately before ruin and the deficit at the time of ruin. In this paper, we will focus on the classical Risk Model of Ruin Theory and will initially calculate the exact values of these quantities in case which claim distribution follows (a) Gamma(3,3) (b) Mixture of Exponentials and (c) Mixture of Gamma distributions. In the next stage, we will calculate the corresponding approaches and give conclusions on which is the most effective. Finally, in each case, bounds will be given for both ruin probability and the deficit after ruin.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
116Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές