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Filtering by: Advisor Thomann, Enrique Decade 2000-2009 Degree Name Doctor of Philosophy (Ph.D.)

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

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Probabilities Abstract approved: Enrique A. Thomann This thesis considers one of the classical problems in
Skew Brownian motion and branching processes applied to diffusion-advection in heterogenous media and fluid flow

Creator:

Ramirez, Jorge M.

Abstract:

This thesis contains three manuscripts addressing the application of stochastic processes to the analysis and solution of partial differential equations (PDEs) in mathematical physics. In the first manuscript, one dimensional diffusion and Burgers equation are considered. The Fourier transform of the solution to each PDE is represented as the expected...

Resource Type:

Dissertation

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: Enrique Thomann - Edward Waymire This thesis contains three manuscripts addressing the application of
Optimization, conservation and valuation of contingent claims in economic resource management under uncertainty

Creator:

Jia, Siwei

Abstract:

This dissertation consists of three papers studying optimization, conservation and valuation of contingent claims in economic resource nianagement under uncertainty. In the first paper the Markovian optinial policies are studied for resource management in a finite time horizon. Under sonic conditions, in particular, when the prices are stochastic and there...

Resource Type:

Dissertation

Full Text:

Siwei Jia Ellen I. Burnes Enrique A. Thomann Edward C. Waymire 34 3.1 Abstract The issue of