Ruin Probability The Classical Model extended to heavy tailed distribution functions and to a simulation approach with bivariate dependent claims using Copulas

Ruin Probability
Auteur: Stefan Simons
  • Engels
  • Paperback
  • 9783639319866
  • februari 2011
  • 128 pagina's
Alle productspecificaties

Samenvatting

Ruin probability is a central component of actuarial science. The first part of this thesis describes the classical model including some premium principles and derives some main results, such as the Upper Lundberg bound and the Cramer-Lundberg approximation formula. One assumption for these results is the existence of the adjustment coefficient. Heavy tailed distribution functions are treated in the second part, where it is shown that this coefficient does not exist. Then some results from the classical model are extended to a class of heavy tailed distribution functions, i.e. subexponential functions. A central limit theorem for stable distribution functions is shown. Regularly and slowly varying functions as well as mean excess functions are explained. The third part describes some dependency structures, with a focus on copula functions, and explains the simulation procedure. First, the classical model is simulated using three different distribution functions: a light tailed, a medium tailed and a heavy tailed function. Following this, bivariate dependent claims are assumed, which are modeled with different copula functions: with and without tail dependency."

Productspecificaties

Inhoud

Taal
Engels
Bindwijze
Paperback
Verschijningsdatum
februari 2011
Aantal pagina's
128 pagina's
Illustraties
Nee

Betrokkenen

Auteur(s)
Stefan Simons
Uitgever
Vdm Verlag

EAN

EAN
9783639319866

Overige kenmerken

Extra groot lettertype
Nee
Gewicht
200 g
Studieboek
Ja
Verpakking breedte
152 mm
Verpakking hoogte
229 mm
Verpakking lengte
229 mm

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