Książka Ruin Probability Stefan Simons

Ruin Probability

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

Autor: Stefan Simons
Język: Angielski
Oprawa: Miękka
Wydawca: VDM Verlag
Dostępność: Na zamówienie
Wysyłamy za 17-27 dni
246.77
Ruin probability is a central component of actuarial science. The first part of this thesis describe...

Informacje o książce

Język
Angielski
Oprawa
Książka - Miękka
Data wydania
2011
strony
128
EAN
9783639319866
ISBN
3639319869
Enbook ID
06838811
Wydawca
Waga
200
Wymiary
229 x 152 x 8

Pełny opis

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 Cramér-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.

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