Dissertation > Excellent graduate degree dissertation topics show
On Some Ruin Problem of Cox Risk Model
Author: WuHaiYan
Tutor: ZhuDongJin
School: Anhui Normal University
Course: Probability Theory and Mathematical Statistics
Keywords: Cox risk model Ruin probability GerberShiu penalty function Martingale Optimal investment Markov process
CLC: F840
Type: Master's thesis
Year: 2010
Downloads: 16
Quote: 0
Read: Download Dissertation
Abstract
This thesis mainly discuss the ruin quantities of Cox risk model with or without investment return. The first part (Chapter 2) of this thesis concentrates on the joint distributions of the surplus immediately before ruin, the deficit at ruin, the extreme surplus before ruin et al of Cox risk model by the idea presented in the work Wu Rong ([28], [37]) and the idea of time transform. In the second part of this paper (Chapter 3), GerberShiu penalty functions for Cox risk model with constant interest force are studied, an system of integrodifferential equations satisfied by the GerberShiu functions and bounds for the GerberShiu penalty functions are obtained. If the insurer can choose to invest in a risky market, we also give an optimal constant investment strategy by maximizing the adjustment coefficient within all constant investment strategies. It is shown that the optimal constant investment strategy is asymptotically optimal in the sense that " asymptotic difference ", which means that when the initial surplus approaches to infinity, the optimal investment approaches to the optimal constant strategy we derived. This result is analogue to the one of Gaier et al ([12]).

Related Dissertations
 Poisson Jump Model of Stock’s Reset Option $ricing,F830.91
 Bvalued martingale sequence nature and Martingale methods in financial markets,F830.9
 Martingale Transforms on the HardyOrlicz Spaces of Martingale and Their Applications,O177.2
 Backward Stochastic Differential Equations with Local Martingale,O211.63
 Research on Risk Model When the Premium Income is a Stochastic Process,F840
 The Optimal Investment Strategy for DefinedContribution Pension Plans,F842.6;F272
 Study of the ContinuousTime Dependent Risk Model’s Ruin Probability,F840
 The Research on Some Issues About Insurance Random Risk Model,F224
 Two types of random variable sequence weighted and convergence properties,O211.4
 Ruin Probability for a Markovmodulated Risk Model,F840
 The Research of Ruin Probability for Poisson Risk Model and Its Generalized Risk Model,F840
 The Research of a Multiinsurance Risk Model,F840
 Types dependent dual risk model with bankruptcy Research,F840
 With interference double insurance bankruptcy probability,F840
 Martingale Analysis on Option Pricing Affected by Random Factors,F830.9
 Relevant Properties and Applications of the Expectation Theory under gFramework,F830
 The Stability Analysis of Two Classes of Neural Networks with Delays,TP183
 Option Pricing Based on Two Stocks with Dividends Lettings,F830.91
 European Option Pricing Based on Exponential OU Model with Stochastic Interest Rate,F830.9
 ContinuousTime Portfolio Selection Research in an Incomplete Market,F830.59
 The Study on the Production Plan and Control Based on the Reliability and Lean Production Theory,F273
CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
© 2012 www.DissertationTopic.Net Mobile
