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Record identifier : 564846
Personal Name - Primary Intelectual Responsibility : Bagheri, Azadeh
Title and statement of responsibility : Sensitivity Analysis Approach to Ruin Probability Submitted in Partial Fulfillment of the Requirement [Thesis]/باقری، آزاده;supervisor: Payandeh Najafabadi;advisor: Aalabaf
Publication, Distribution,Etc. : , 2011
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: تحلیل حساسیت احتمال ورشکستگی . یافته های تحقیق گواه این است که توزیع تجربی احتمال ورشکستگی در حالت مجانبی به توزیع گوسین میل می کند و همچنین تابع احتمال ورشکستگی به عنوان یک برآورگر استوار شناخته می شود به این معنی که نسبت به خسارت های فاجعه آمیز حساس نمی باشد
: The purpose of this thesis is to consider the classical risk model and carry out sensitivity and robustness analysis of finite time ruin probability. Because it is unlikely that the real claim amount process is exactly the one which probability has been chosen for statistical inference. Therefore, one needed estimators that are efficient that do not changes much if a small change occur in the input of the model, estimators of this kind called robust The robustness is measured by influence function which in this thesis an algorithm provided to compute the related influence function of finite time ruin probability.It is shown that the weakly converge of empirical finite time ruin probability by initial reserve zero toward a Gaussian random variable. To define the VAR of the estimator of finite time ruin probability the reliable finite time ruin probability is introduced. This VAR has to be controlled to cover estimation risk which required an additional solvency capital compare to the case one only controls the empirical finite- time ruin probability. We define this capital as the estimation risk solvency margin, i.e., this is the controller of robust risk measure..
Topical Name Used as Subject : Robustness
: Solvency II
: Reliable ruin probability
Information of biblio record : TL
 
 
 
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