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Filtering by: Advisor Thomann, Enrique Remove constraint Advisor: Thomann, Enrique Subject Asset-liability management Remove constraint Subject: Asset-liability management

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  • 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:
    10, 2015. Title: Ruin Problems with Risky Investments Abstract approved: Enrique A. Thomann In