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Record identifier : 564682
Personal Name - Primary Intelectual Responsibility : Moradi Ziarani, Maryam
Title and statement of responsibility : Computation of Ruin Probability: A Case of an Iranian Insurance Company [Thesis]/مردانی زیارانی، مریم;supervisor: Mohammad Reza Salehi Rad;advisor: Farhad Khorrami
Publication, Distribution,Etc. : , 2008
Language of the Item : eng
Internal Bibliographies/Indexes Note : Bibliography
Dissertation of thesis details and type of degree : Master of Arts
Body granting the degree : , ECO College of Insurance
Summary or Abstract : هدف تحقیق: محاسبه احتمال ورشکستگی بر روی داده های یک شرکت بیمه است. روش تحقیق: کتابخانه‌ای. یافته های تحقیق۶ نشان می دهد که احتمال ورشکستگی بر روی داده های واقعی موجود مقدار خیلی ناچیزی می باشد
: Ruin theory is concerned with the level of an insurer s surplus for a portfolio of insurance policies. We consider the evolution of an insurance fund over time, taking account of the times at which claims occur, as well as their amounts. This thesis involves two parts. The first part in which there are two independent insurance risk processes: compound Poisson and generalized Erlang( ) processes. The second part discusses the weakly convergence of the compound Poisson process to a Wiener process. In both parts, we start with a general function which is called the expected discounted penalty (Geber-Shiu) function. The expected discounted penalty function may be viewed as the expectation of the present value of the penalty when ruin occurs. Many properties of the surplus process may be obtained from this very general function. Also, we find the explicit expression for the ruin probability from this function. This way, we derive an integro-differential equation satisfied by the Geber-Shiu function. We use this equation to find the Laplace transform of the function from which we derive a general expression for the ruin probability. Also, we get the main results for the ruin probability, the probability density of surplus before ruin and the joint probability density of the surplus before ruin and the deficit at ruin, by assuming the exponential claims for two classes. At the end, we find the ruin probability for the data from Parsian Insurasne Company..
Topical Name Used as Subject : Ruin Proability
Information of biblio record : TL
 
 
 
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