Carte Ruin Probability Stefan Simons

Ruin Probability

The Classical Model extended to heavy tailed distribution functions and to a simulation approach with bivariate dependent claims using Copulas

Autor: Stefan Simons
Limbă: engleză
Legare: Carte broșată
Editura: VDM Verlag
Disponibilitate: La editor doar la comandă
Expediem în 17-27 zile
305.60 lei
Ruin probability is a central component of actuarial science. The first part of this thesis describe...

Informații despre carte

Limbă
engleză
Legare
Carte - Carte broșată
Publicat
2011
Pagini
128
EAN
9783639319866
ISBN
3639319869
Enbook ID
06838811
Editura
Greutate
200
Dimensiuni
229 x 152 x 8

Descriere completă

Ruin probability is a central component of actuarial science. The first part of this thesis describes the classical model including some premium principles and derives some main results, such as the Upper Lundberg bound and the Cramér-Lundberg approximation formula. One assumption for these results is the existence of the adjustment coefficient. Heavy tailed distribution functions are treated in the second part, where it is shown that this coefficient does not exist. Then some results from the classical model are extended to a class of heavy tailed distribution functions, i.e. subexponential functions. A central limit theorem for stable distribution functions is shown. Regularly and slowly varying functions as well as mean excess functions are explained. The third part describes some dependency structures, with a focus on copula functions, and explains the simulation procedure. First, the classical model is simulated using three different distribution functions: a light tailed, a medium tailed and a heavy tailed function. Following this, bivariate dependent claims are assumed, which are modeled with different copula functions: with and without tail dependency.

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