Boundary crossing problems in insurance

Sidorowicz, R

Boundary crossing problems in insurance

Sidorowicz, R

Permalink

Publication Type:: Thesis
Issue Date:: 2006

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download contents and abstractAdobe PDF (408.28 kB)

Adobe PDF

Download thesisAdobe PDF (3.32 MB)

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Sidorowicz, R
dc.date.accessioned	2015-10-09T02:44:29Z
dc.date.available	2015-10-09T02:44:29Z
dc.date.issued	2006
dc.identifier.uri	http://hdl.handle.net/10453/37441
dc.description	University of Technology, Sydney. Faculty of Science.	en_US
dc.description.abstract	In the actuarial sense, a risk process models a surplus of an insurance company. The company is allowed to invest money with a constant interest rate. Some generalizations of the constant interest rate models are also considered. Ruin is defined to have occurred when the risk process reaches some certain level, which is less than the initial capital. In particular the level is assumed to be zero. Papers such as Harrison [17], Schmidli [37] and Embrechts & Schmidli [11] consider similar models with constant interest rate and obtain explicit solutions as well as diffusion approximations for the probability of ruin in infinite time. Our main approach is to use Martingale techniques in order to obtain exact solutions for probabilities of ruin in the finite time horizon which are further compared with numerical simulations. Furthermore, we analyse models with more general interest rate and propose a series of methods which can be used in order to determine the finite time ruin probabilities.	en_US
dc.format	Thesis (MSc)	en_US
dc.language.iso	en	en_US
dc.relation	https://opus.lib.uts.edu.au/bitstream/10453/37441/9/02Whole.pdf
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	The author owns the copyright in this thesis including all reproduction and reuse rights for the work. The work may not be altered without the permission of the copyright owner. Attribution is essential when quoting or paraphrasing from this thesis.
dc.rights	au.edu.uts.lib/ppc
dc.title	Boundary crossing problems in insurance	en_US
dc.type	Thesis
utslib.copyright.status	open_access

Abstract:

In the actuarial sense, a risk process models a surplus of an insurance company. The company is allowed to invest money with a constant interest rate. Some generalizations of the constant interest rate models are also considered. Ruin is defined to have occurred when the risk process reaches some certain level, which is less than the initial capital. In particular the level is assumed to be zero. Papers such as Harrison [17], Schmidli [37] and Embrechts & Schmidli [11] consider similar models with constant interest rate and obtain explicit solutions as well as diffusion approximations for the probability of ruin in infinite time. Our main approach is to use Martingale techniques in order to obtain exact solutions for probabilities of ruin in the finite time horizon which are further compared with numerical simulations. Furthermore, we analyse models with more general interest rate and propose a series of methods which can be used in order to determine the finite time ruin probabilities.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/37441