Ruin probability and time of ruin with a proportional reinsurance threshold strategy
نویسندگان
چکیده
منابع مشابه
Minimizing the Probability of Ultimate Ruin by Proportional Reinsurance and Investments
i CERTIFICATION The undersigned certify that they have read and hereby recommend for acceptance by the University of Dar es Salaam a dissertation entitled Minimizing the Prob-Date: ii DECLARATION AND COPYRIGHT I, Christian Kasumo, declare that this dissertation is my own original work and that it has not been presented and will not be presented to any other University for a similar or any other...
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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...
15 صفحه اولDynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model
We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined. Via the Hamilton-Jacobi-Bellman approach we find a candidate for the optimal value function and prove the verification theorem. In addition, we obtain the Lundberg bounds a...
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ژورنال
عنوان ژورنال: TOP
سال: 2010
ISSN: 1134-5764,1863-8279
DOI: 10.1007/s11750-010-0165-5