Προσεγγιστικές μέθοδοι στην θεωρία συλλογικού κινδύνου μέσω της R
Approximation methods in collective risk theory using R
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Keywords
Συλλογικός κίνδυνος ; Θεωρία χρεοκοπίας ; Πρόγραμμα R ; Προσεγγίσεις ; Θεωρία συλλογικού κινδύνου ; Πιθανότητα χρεοκοπίας ; Lundberg ; Panjer ; Προσεγγιστικές μέθοδοιAbstract
In the present dissertation we examine a variety of approximations that have been proposed and are used in collective risk theory. More specifically, in the collective model of risk theory, two of the quantities with primary interest are: (a) The distribution of aggregate claims for the insurance company, and (b) The ruin probability of a certain insurance portfolio. These two quantities can only be found analytically for certain cases of the individual claim size distribution. For this reason, various approximation methods are employed to calculated them. Many of these methods have been incorporated, in the form of suitable algorithms, in the package actuar of the programming language R; therefore, their implementation and assessment becomes feasible.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
210Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές