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Filtering by: Subject Risk perception -- Mathematical models Degree Name Doctor of Philosophy (Ph.D.) License All rights reserved

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
From Functional Modeling to Optimization : Risk and Safety in the Design Process for Large-Scale Systems

Creator:

McIntire, Matthew G.

Abstract:

In order to more effectively design large, complex systems, risk must be accounted for throughout the design process. A systematic way to account for risk is by using system model simulation. During the conceptual design phase, functional models can be drawn to help the engineer design their system's functional architecture....

Resource Type:

Dissertation

Full Text:

: From Functional Modeling to Optimization: Risk and Safety in the Design Process for Large-Scale Systems
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