Analysis of Some Risk Processes in Ruin Theory - Bookswagon
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Analysis of Some Risk Processes in Ruin Theory

Analysis of Some Risk Processes in Ruin Theory


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About the Book

This dissertation, "Analysis of Some Risk Processes in Ruin Theory" by Luyin, Liu, 劉綠茵, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: In the literature of ruin theory, there have been extensive studies trying to generalize the classical insurance risk model. In this thesis, we look into two particular risk processes considering multi-dimensional risk and dependent structures respectively. The first one is a bivariate risk process with a dividend barrier, which concerns a two-dimensional risk model under a barrier strategy. Copula is used to represent the dependence between two business lines when a common shock strikes. By defining the time of ruin to be the first time that either of the two lines has its surplus level below zero, we derive a discrete approximation procedure to calculate the expected discounted dividends until ruin under such a model. A thorough discussion of application in proportional reinsurance with numerical examples is provided as well as an examination of the joint optimal dividend barrier for the bivariate process. The second risk process is a semi-Markovian dual risk process. Assuming that the dependence among innovations and waiting times is driven by a Markov chain, we analyze a quantity resembling the Gerber-Shiu expected discounted penalty function that incorporates random variables defined before and after the time of ruin, such as the minimum surplus level before ruin and the time of the first gain after ruin. General properties of the function are studied, and some exact results are derived upon distributional assumptions on either the inter-arrival times or the gain amounts. Applications in a perpetual insurance and the last inter-arrival time before ruin are given along with some numerical examples. DOI: 10.5353/th_b5153734 Subjects: Risk (Insurance) - Mathematical models


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Product Details
  • ISBN-13: 9781361330784
  • Publisher: Open Dissertation Press
  • Publisher Imprint: Open Dissertation Press
  • Height: 279 mm
  • No of Pages: 150
  • Weight: 363 gr
  • ISBN-10: 1361330783
  • Publisher Date: 26 Jan 2017
  • Binding: Paperback
  • Language: English
  • Spine Width: 8 mm
  • Width: 216 mm


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