Η ανέλιξη του πλεονάσματος στην περίπτωση ύπαρξης ενός πάνω φράγματος
The surplus process in the presence of an upper barrier
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Subject
Ασφαλιστικά μαθηματικάKeywords
Κίνδυνος ; Χρεοκοπία ; Θεωρία κινδύνουAbstract
Whenever an insurance company defies the risk of a ruin event, the study of the time required for its surplus to reach a given target value b, can be a real asset, thereby assuring the implementation of the appropriate divident strategy which can guarantee its future profits. The aim of this project is to assess the skewness and kurtosis measures of time distribution for the first passage of 𝑏, the number of claims before the first passage and the time elapsed between the first and the last reaching of this level. What we actually offer is, in effect, analytical expressions, with the use of cumulants. We also move on to apply specific examples, dealing with claims to insurance companies, following exponential and Gamma distribution.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
99Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές