Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments

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چکیده

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Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments

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در این پایان نامه نشان داده ایم که چگونه می توان مدل ریسک بیمه ای اسپیرر اندرسون را به کمک زنجیره های مارکوف تعریف کرد. سپس به کمک روش های آنالیز ماتریسی احتمال برشکستگی ، میزان مازاد در هنگام برشکستگی و میزان کسری بودجه در زمان وقوع برشکستگی را محاسبه کرده ایم. هدف ما در این پایان نامه بسیار محاسباتی و کاربردی تر از روش های است که در گذشته برای محاسبه این احتمال ارائه شده است. در ابتدا ما نشا...

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ژورنال

عنوان ژورنال: Risks

سال: 2017

ISSN: 2227-9091

DOI: 10.3390/risks5020028