Ruin Probability

Name: Ruin Probability
Brand: VDM Verlag
SKU: 9783639319866
Price: 58.14 EUR
Availability: InStock

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

Autor: Stefan Simons

Jazyk:

Väzba: Brožovaná

Vydavateľ: VDM Verlag

Dostupnosť: U vydavateľa na objednávku

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58.14 €

Ruin probability is a central component of actuarial science. The first part of this thesis describe...

Informácie o knihe

Autor

Stefan Simons

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2011

Stránok

128

EAN

9783639319866

ISBN

3639319869

Enbook ID

06838811

Vydavateľ

VDM Verlag

Hmotnosť

200

Rozmery

229 x 152 x 8

Kompletný popis

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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Ruin Probability

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

Informácie o knihe

Kompletný popis

Mohlo by vás zaujímať

Zákazníci, ktorí si kúpili túto knihu, kúpili tiež