A Study on the Ruin Probabilities for the Cram�r-Lundberg Model

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题名:	A Study on the Ruin Probabilities for the Cram�r-Lundberg Model
作者:	周彥希;Chou, Yen-Hsi
贡献者:	數學系
关键词:	破產機率;破產時損失之分佈函數;合計損失;ruin probability;the distribution of the loss when a ruin occurs;aggregate loss
日期:	2017-08-10
上传时间:	2017-10-27 16:13:31 (UTC+8)
出版者:	國立中央大學
摘要:	本文旨在討論風險資產及破產機率之相關問題。於短期風險模型方面，文中提供數個範例，並運用機率論定理以利計算；至於長期風險模型，則探討Cramér-Lundberg Model，且聚焦於破產機率與破產時損失之分佈函數，採取兩種方法計算前者。最後介紹合計損失的概念，透過對合計損失的分析，得以獲取若干關於風險資產的新觀點。;The main objects of our study is to consider the risk processes in insurance and to discuss their ruin probability. When it comes to the short term risk model, we show some examples and briefly discuss how the theorems from probability theory can be used to perform analysis. For the long term risk model, we discuss the Cramér-Lundberg Model, in which we are interested in the ruin probability and the distribution of the loss when a ruin occurs. Two methods are given to calculate the ruin probability. Also, we introduce the idea of aggregate loss for the study of risk process, which can be used to do the analysis from another point of view. In the first two sections, we briefly discuss the utility function and give a review of the basic probability theory.
显示于类别:	[數學研究所] 博碩士論文

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