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Record identifier : 564815
Personal Name - Primary Intelectual Responsibility : Somaye Ahmadi
Title and statement of responsibility : Analysis of ruin probability for insurance companies using Markov chain [Thesis]/احمدی، سمیه;supervisor: Mohammad Reza Salehi Rad;advisor: Hossein Behzadi
Publication, Distribution,Etc. : , 2010
Language of the Item : eng
Internal Bibliographies/Indexes Note : BIbliography
Dissertation of thesis details and type of degree : Master of Arts
Discipline of degree : , Actuarial Science
Body granting the degree : , E.C.O. College of Insurance
Summary or Abstract : هدف تحقیق: محاسبه احتمال برشکستگی شرکت های بیمه به کمک زنجیره های مارکوف است. روش تحقیق: کتابخانه‌ای. یافته هیا تحقیق، نشان می دهد زمان ادعای خسارت و پرداخت آن در میزان احتمال برشکستگی شرکت بیمه موثر بوده‌و با تاخیر زمان اولین ادعای خسارت این احتمال کم می شود
: In this thesis we calculate ruin probability for one of the renewal process model which is called is delayed Sparre Andersen model and we show that this model in discrete time can be analyzed as a doubly infinite Markov chain. Then we describe how matrix analytic methods can be used to establish a computational procedure for calculating the probability distributions associated with fundamental ruin related quantities of interest such as the time of ruin, the surplus immediately before ruin and deficit at ruin In this research our aim is more computational in flavor. At the beginning, we will show how the delayed Sparre Andersen model can be set up as a doubly infinite Markov chain with finite blocks. Then using this set-up, we will show how matrix analytic methods can be employed for computing the bivariate joint probabilities. And at the end we use from this algorithm to calculate the ruin probability..
Topical Name Used as Subject : Sparre Andersen model
: Markov chain
: matrix analytic
Information of biblio record : TL
 
 
 
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