Υπολογιστική αναλογιστική επιστήμη με το πακέτο actuar της γλώσσας προγραμματισμού R
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Keywords
Θεωρία κινδύνου ; Θεωρία χρεοκοπίας ; Θεωρία πιθανοτήτων ; Συλλογικό μοντέλο κινδύνου ; Actuar ; R ; Panjer ; Συνέλιξη ; Κλάσεις κατανομώνAbstract
The subject of this thesis is the study of special topics of risk theory and the
numerical solution of related problems using the programming language R. In
particular, this study focuses mainly on the collective risk model and the
probability of default of a portfolio.
Our study will start by giving a brief description of basic concepts of probability
theory and the classes of distributions that apply to the collective risk model.
Next, we emphasize the theory underlying the collective risk model where we
focus on the methods of computing the distribution of total compensation using
the actuar package of the R programming language. Finally, we focus on the
central problem of default theory which is the exact computation of the
probability of default.
All the topics presented in this paper are studied and interpreted both at the
theoretical and practical level. Thus, in each chapter the relevant theory is
presented and numerical examples are given and solved for a better
understanding.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
96Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα