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Filtering by: Subject Risk (Insurance) -- Mathematical models Remove constraint Subject: Risk (Insurance) -- Mathematical models Advisor Thomann, Enrique Remove constraint Advisor: Thomann, Enrique

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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:
    . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 2. INSURANCE RISK MODELS- THE CASE OF NO INVESTMENTS . 12 2.1. The risk model -no investments

  • Ruin theory under uncertain investments

    Creator:
    Constantinescu, Corina D.
    Abstract:
    An insurance company, having an initial capital u, receives premiums continuously and pays claims of random sizes at random times. A classical result states that if the rate of premium, c, exceeds the average of the claims paid per unit time, ⋋μ, then the ruin probability decays exponentially fast as...
    Resource Type:
    Masters Thesis
    Full Text:
    the domain VA of A. 2.2. Cramer-Lundberg model Consider an insurance company ABC, that disposes of