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Filtering by: Subject Risk perception -- Mathematical models Remove constraint Subject: Risk perception -- Mathematical models Academic Affiliation Mathematics Remove constraint Academic Affiliation: Mathematics License All rights reserved Remove constraint License: All rights reserved

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  • Renewal risk processes with stochastic returns on investments : a unified approach and analysis of the ruin probabilities

    Creator:
    Constantinescu, Corina D.
    Abstract:
    This thesis considers one of the classical problems in the actuarial mathematics literature, the decay of the probability of ruin in the collective risk model. The claim number process N(t) is assumed to be a renewal process, the resulting model being referred as the Sparre Andersen risk model. The inter-claim...
    Resource Type:
    Dissertation
    Full Text:
    referred as the Sparre Andersen risk model. The inter-claim times form a sequence of independent

  • Ruin Problems with Risky Investments

    Creator:
    Loke, Sooie-Hoe
    Abstract:
    In this dissertation, we study two risk models. First, we consider the dual risk process which models the surplus of a company that incurs expenses at a constant rate and earns random positive gains at random times. When the surplus is invested in a risky asset following a geometric Brownian...
    Resource Type:
    Dissertation
    Full Text:
    . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 2. CLASSICAL DUAL RISK MODEL