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Study of the Ruin Proberbility under Heavy-Tail Claims

Author: ZhangYongQing
Tutor: ZhaoMingQing
School: Shandong University of Science and Technology
Course: Applied Mathematics
Keywords: Heavy-tailed distribution Probability of survival Renewal Risk Model
CLC: O211.67
Type: Master's thesis
Year: 2008
Downloads: 17
Quote: 0
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Abstract


Heavy-tailed distribution PROBABILITY recent risk a hot topic in the field of theoretical research , In this paper, a heavier end of the perspective of the ruin probability of the risk models have been studied mainly as follows: the classical use of the risk model research results, obtained a local theorem on the probability of survival of the ordinary renewal risk model , and the theorem to balance renewal risk model and delayed renewal risk model ; discussed and heavy-tailed compound renewal risk model , reached its survival probability tail Equivalence and compound renewal risk model is extended to the delay , obtained survival probability tail Equivalence carried out to promote the re - tailed distributions studied under different conditions , heavy tail risk Model local Theorem obtained the ordinary renewal risk model and equilibrium renewal risk model in the case of heavy-tailed probability of bankruptcy local solution ; generalize the definition of heavy - tailed distributions to introduce a new class of heavy tailed distributions , in the distribution of family under a special class of renewal risk model , Erlang ( n , beta ) risk model , and obtained a local theorem of the survival probability of the risk model , the model is extended to delay , to discuss and come to delay Erlang ( n , beta ) risk model to survive in the heavy tailed distributions estimated the probability of a local solution .

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CLC: > Mathematical sciences and chemical > Mathematics > Probability Theory and Mathematical Statistics > Theory of probability ( probability theory, probability theory ) > Random process > Expectations and Forecast
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