Ruin Theoretical Comparisons

This book is intended for everyone interested in ruin theory, especially those who wonder how analysis changes in the presence of heavy-tailed claims or risky investments. The focus is on the Cramér-Lundberg model and two of its extensions, a diffusion perturbed model and a model with risky investments. For each model, ruin probabilities are calculated for degenerately, uniformly and exponentially distributed claim sizes as well as for Pareto-distributed claim sizes. These ruin probabilities are then compared with one another. For the extended models, a pure diffusion risk reserve process is also analyzed.

Info autore

Vesa Pekkanen holds a master's degree in mathematics from Aalto University. His research interests include probability theory, quantitative finance, actuarial mathematics, statistics and economics.

Dettagli sul prodotto

• Autori: Vesa Pekkanen
• Editore: LAP Lambert Academic Publishing
• Lingue: Inglese
• Formato: Tascabile
• Pubblicazione: 05.08.2016
• EAN: 9783659921438
• ISBN: 978-3-659-92143-8
• Pagine: 96
• Categoria: Scienze naturali, medicina, informatica, tecnica > Matematica > Teoria delle probabilità, stocastica, statistica matematica