Search for dissertations about: "Ruin Probability"

Showing result 1 - 5 of 9 swedish dissertations containing the words Ruin Probability.

2. 1. Ruin probabilities and first passage times for self-similar processes

   Author : Zbigniew Michna; Matematisk statistik; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Simulation of Ruin Probability; Monte Carlo Method; Skorokhod Topology; Weak Convergence; Rice s Formula; Fluid Model; Risk Model; Scaled Brownian Motion; Long Range Dependence; Fractional Brownian Motion; Renewal Process; Levy Motion; Stable Process; Self-Similar Process; Gaussian Process; Ruin Probability; First Passage Time; Exponential Bound; Picands Constant.; Mathematics; Matematik;

   Abstract : This thesis investigates ruin probabilities and first passage times for self-similar processes. We propose self-similar processes as a risk model with claims appearing in good and bad periods. Then, in particular, we get the fractional Brownian motion with drift as a limit risk process. READ MORE

4. 2. Two-Barrier Problems in Applied Probability: Algorithms and Analysis

   Author : Mats Pihlsgård; Matematisk statistik; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; operations research; programming; actuarial mathematics; Statistik; Matematik; Mathematics; Naturvetenskap; Natural science; Reflection; Stochastic processes; Applied probability; Queueing; operationsanalys; programmering; aktuariematematik;

   Abstract : This thesis consists of five papers (A-E). In Paper A, we study transient properties of the queue length process in various queueing settings. We focus on computing the mean and the Laplace transform of the time required for the queue length starting at $x0. We define the loss rate due to the reflection. READ MORE

5. 3. Perturbed discrete time stochastic models

   Author : Mikael Petersson; Dmitrii Silvestrov; Ola Hössjer; Nikolaos Limnios; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; Perturbation; Asymptotic expansion; Regenerative process; Risk process; Semi-Markov process; Markov chain; Quasi-stationary distribution; Ruin probability; First hitting time; Solidarity property; Mathematical Statistics; matematisk statistik;

   Abstract : In this thesis, nonlinearly perturbed stochastic models in discrete time are considered. We give algorithms for construction of asymptotic expansions with respect to the perturbation parameter for various quantities of interest. READ MORE

6. 4. Asymptotic Expansions for Perturbed Discrete Time Renewal Equations

   Author : Mikael Petersson; Dmitrii Silvestrov; Ola Hössjer; Henrik Hult; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; Perturbation; Asymptotic expansion; Regenerative process; Quasi-stationary distribution; Risk process; Ruin probability;

   Abstract : In this thesis we study the asymptotic behaviour of the solution of a discrete time renewal equation depending on a small perturbation parameter. In particular, we construct asymptotic expansions for the solution of the renewal equation and related quantities. READ MORE

7. 5. Perturbed Renewal Equations with Non-Polynomial Perturbations

   Author : Ying Ni; Dmitrii Silvestrov; Anatoliy Malyarenko; Yuri Belyaev; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; perturbed renewal equation; non-polynomial perturbation; exponential asymptotic expansion; risk process; ruin probability; Mathematical statistics; Matematisk statistik; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : This thesis deals with a model of nonlinearly perturbed continuous-time renewal equation with nonpolynomial perturbations. The characteristics, namely the defect and moments, of the distribution function generating the renewal equation are assumed to have expansions with respect to a non-polynomial asymptotic scale: $\{\varphi_{\nn} (\varepsilon) =\varepsilon^{\nn \cdot \w}, \nn \in \mathbf{N}_0^k\}$  as $\varepsilon \to 0$, where $\mathbf{N}_0$ is the set of non-negative integers, $\mathbf{N}_0^k \equiv \mathbf{N}_0 \times \cdots \times \mathbf{N}_0, 1\leq k . READ MORE