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Ruin Probabilities for General Insurance Models Involving Investments

Author: ShaoPing
Tutor: YinJuLiang
School: Jinan University
Course: Probability Theory and Mathematical Statistics
Keywords: Surplus process Probability of ruin Exponential martingale Lundberg sector
CLC: F840
Type: Master's thesis
Year: 2008
Downloads: 76
Quote: 0
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Abstract


This paper studies the investment factors generalized bankruptcy of the insurance model probability problems . Articles considered surplus process is the promotion of classical Cramer-Lundberg model , it involves stochastic interest rates , independent of additional security functions of the surplus process , stochastic volatility models , jump process . This article bankruptcy probability of various insurance model can be derived by introducing parameterized rate function (rate function) construct exponential martingale , so as to establish a the Lundberg community unified model. The full text is organized as follows : The first chapter introduces the research related issues at home and abroad as well as main research and economic significance ; Chapter II gives the surplus process and the financial markets jump diffusion model , and introduces the theory of random point process , as well as the definition of bankruptcy probability ; Chapter construct a parametric rate function exponential martingale , and given the nature of the process martingale prove ; fourth chapter describes how through Chapter exponential martingale constructed to derive bankruptcy Lundberg upper bound of the probability , given two theorems ; Chapter stochastic simulation of the probability of bankruptcy of several typical insurance model , and simulate the results of their Lundberg upper bound to make a comparison , to find out the gap between the two , that the theory obtained Lundberg upper bound is a bit too large .

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