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Several studies on the issue when the insurance companies to invest in

Author: ZhangJunJie
Tutor: MaJianGuo
School: Zhengzhou University
Course: Applied Mathematics
Keywords: Investment Insurance Ruin probability Martingale Utility function
CLC: F840
Type: Master's thesis
Year: 2008
Downloads: 28
Quote: 0
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Abstract


Nowadays, the theory about martingale , stopping-time and the renewal recursive technique has been widely applied in the risk theory researching.Many scientists have used stochastic process theory considering the actual life to study the bounds of the ruin probability under various complicated models and have obtained many great properties and conclusions.The problem of how to decide the premium is an important part of risk theory and insurance , The risk model considering the interest which the insurance company invest is built in chapter 2,then the method of utility theory is used to get the fair premium .In actuarial science, almost all the research on the bounds of ruin probability which have been done has used the theory of martingale , stopping-time, the renewal process. The methods above are used in the chapter 3 to the risk model built in chapter 2 and get the evaluation of the bound of the ruin probability under the risk model.In fact, the reinsurance generating with the insurance is becoming more and more important recently. The optional retention considering the benefit of both insurance and the reinsurance company is discussed in chapter 4.

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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