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Topics in Delayed Renewal Risk ModelsKim, So-Yeun January 2007 (has links)
Main focus is to extend the analysis of the ruin related
quantities, such as the surplus immediately prior to ruin, the
deficit at ruin or the ruin probability, to the delayed renewal
risk models.
First, the background for the delayed renewal risk model is
introduced and two important equations that are used as frameworks
are derived. These equations are extended from the ordinary
renewal risk model to the delayed renewal risk model. The first
equation is obtained by conditioning on the first drop below the
initial surplus level, and the second equation by conditioning on
the amount and the time of the first claim.
Then, we consider the deficit at ruin in particular among many
random variables associated with ruin and six main results are
derived. We also explore how the Gerber-Shiu expected discounted
penalty function can be expressed in closed form when
distributional assumptions are given for claim sizes or the time
until the first claim.
Lastly, we consider a model that has premium rate reduced when the
surplus level is above a certain threshold value until it falls
below the threshold value. The amount of the reduction in the
premium rate can also be viewed as a dividend rate paid out from
the original premium rate when the surplus level is above some
threshold value. The constant barrier model is considered as a
special case where the premium rate is reduced to $0$ when the
surplus level reaches a certain threshold value. The dividend
amount paid out during the life of the surplus process until ruin,
discounted to the beginning of the process, is also considered.
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Topics in Delayed Renewal Risk ModelsKim, So-Yeun January 2007 (has links)
Main focus is to extend the analysis of the ruin related
quantities, such as the surplus immediately prior to ruin, the
deficit at ruin or the ruin probability, to the delayed renewal
risk models.
First, the background for the delayed renewal risk model is
introduced and two important equations that are used as frameworks
are derived. These equations are extended from the ordinary
renewal risk model to the delayed renewal risk model. The first
equation is obtained by conditioning on the first drop below the
initial surplus level, and the second equation by conditioning on
the amount and the time of the first claim.
Then, we consider the deficit at ruin in particular among many
random variables associated with ruin and six main results are
derived. We also explore how the Gerber-Shiu expected discounted
penalty function can be expressed in closed form when
distributional assumptions are given for claim sizes or the time
until the first claim.
Lastly, we consider a model that has premium rate reduced when the
surplus level is above a certain threshold value until it falls
below the threshold value. The amount of the reduction in the
premium rate can also be viewed as a dividend rate paid out from
the original premium rate when the surplus level is above some
threshold value. The constant barrier model is considered as a
special case where the premium rate is reduced to $0$ when the
surplus level reaches a certain threshold value. The dividend
amount paid out during the life of the surplus process until ruin,
discounted to the beginning of the process, is also considered.
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Asymptotic Expansions for Perturbed Discrete Time Renewal EquationsPetersson, Mikael January 2013 (has links)
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. The results are applied to studies of quasi-stationary phenomena for regenerative processes and asymptotics of ruin probabilities for a discrete time analogue of the Cramér-Lundberg risk model.
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Analýza procesních rizik ZZS JČk s výstupem do nouzových plánů / Analysis of Procedural Risks of the South Bohemian Region's Medical Rescue Service with the Output to Emergency PlansČelikovská, Martina January 2009 (has links)
The organization of processes and activities of Medical Rescue Services must reflect the basic rules for providing EMS in accordance with regulations of the Ministry of Health. Organization process faces many risks (which can be summarized into three key groups - natural disasters, criminal activity and human error) for risk analysis process has been established methodology, which involves the calculation of risk factor, the likelihood of risky situations and the impact - the amount of damage. Risk analysis process was implemented from the perspective of patients with regard to the above risks. To minimize these risks, the impact on patients, was proposed measures, summarized in the emergency plans. These plans should be tested regularly. Managing emergency plans describing the proposed directive, which should be included in the Quality Management System for ZZS JCK
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Riskhantering i ett infrastrukturprojekt : En fallstudie av Förvaltningen för utbyggd tunnelbana avdelning NorrMount, Sebastian, Lin, Zichang January 2020 (has links)
The agreement in the 2013 Stockholm negotiation (Stockholmsförhandlingen 2013) included plans to build four new metro lines. As a result to the agreement the Extended Metro Administration (Förvaltning för utbyggd tunnelbana, FUT) was formed and given the commission to carry out the project based on the framework of the 2013 Stockholm negotiation. The expansion is the largest investment for the metro in Stockholm since the 1970s. The project naturally contains many risks that can affect the work environment, environment, cost, time and quality. Risk management is therefore an essential element in FUTs daily work.The purpose of this bachelor’s thesis is to analyze and bring FUT´s attention to improvements within the organization’s risk management process. The analysis consists of an overall image of the organization’s risk management and project risk management through interviews, reviews of internal risk management routines and project documents. FUT’s risk management process is compared to and supported by the risk management framework COSO ERM, risk management standard ISO 31000 and risk management theories in projects.Based on the analysis and discussion, five improvements have been identified:• FUT’s organizational culture for risk management• Monitoring of the contractor's risk management• The structure of the risk register• Opportunity management• Experience and reflection on projectsThe report does not propose solutions for the first improvement area, but proposals for solutions are mentioned for the others.
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Perturbed Renewal Equations with Non-Polynomial PerturbationsNi, Ying January 2010 (has links)
<p>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, $\mathbf{N}_0^k \equiv \mathbf{N}_0 \times \cdots \times \mathbf{N}_0, 1\leq k <\infty$ with the product being taken $k$ times and $\w$ is a $k$ dimensional parameter vector that satisfies certain properties. For the one-dimensional case, i.e., $k=1$, this model reduces to the model of nonlinearly perturbed renewal equation with polynomial perturbations which is well studied in the literature. The goal of the present study is to obtain the exponential asymptotics for the solution to the perturbed renewal equation in the form of exponential asymptotic expansions and present possible applications.</p><p>The thesis is based on three papers which study successively the model stated above. Paper A investigates the two-dimensional case, i.e. where $k=2$. The corresponding asymptotic exponential expansion for the solution to the perturbed renewal equation is given. The asymptotic results are applied to an example of the perturbed risk process, which leads to diffusion approximation type asymptotics for the ruin probability. Numerical experimental studies on this example of perturbed risk process are conducted in paper B, where Monte Carlo simulation are used to study the accuracy and properties of the asymptotic formulas. Paper C presents the asymptotic results for the more general case where the dimension $k$ satisfies $1\leq k <\infty$, which are applied to the asymptotic analysis of the ruin probability in an example of perturbed risk processes with this general type of non-polynomial perturbations. All the proofs of the theorems stated in paper C are collected in its supplement: paper D.</p>
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Perturbed Renewal Equations with Non-Polynomial PerturbationsNi, Ying January 2010 (has links)
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, $\mathbf{N}_0^k \equiv \mathbf{N}_0 \times \cdots \times \mathbf{N}_0, 1\leq k <\infty$ with the product being taken $k$ times and $\w$ is a $k$ dimensional parameter vector that satisfies certain properties. For the one-dimensional case, i.e., $k=1$, this model reduces to the model of nonlinearly perturbed renewal equation with polynomial perturbations which is well studied in the literature. The goal of the present study is to obtain the exponential asymptotics for the solution to the perturbed renewal equation in the form of exponential asymptotic expansions and present possible applications. The thesis is based on three papers which study successively the model stated above. Paper A investigates the two-dimensional case, i.e. where $k=2$. The corresponding asymptotic exponential expansion for the solution to the perturbed renewal equation is given. The asymptotic results are applied to an example of the perturbed risk process, which leads to diffusion approximation type asymptotics for the ruin probability. Numerical experimental studies on this example of perturbed risk process are conducted in paper B, where Monte Carlo simulation are used to study the accuracy and properties of the asymptotic formulas. Paper C presents the asymptotic results for the more general case where the dimension $k$ satisfies $1\leq k <\infty$, which are applied to the asymptotic analysis of the ruin probability in an example of perturbed risk processes with this general type of non-polynomial perturbations. All the proofs of the theorems stated in paper C are collected in its supplement: paper D.
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Likvidumo rizikos vadybos tobulinimas Lietuvos kredito įstaigose / Development of liquidity risk management in Lithuanian credit institutionsMachankovienė, Jelena 19 February 2009 (has links)
Magistro baigiamajame darbe išanalizuota ir įvertinta Lietuvos kredito įstaigų likvidumo rizikos vadybos tobulinimo galimybė. Pateikti siūlymai kaip patobulinti bankų aktyvų ir pasyvų valdymo sistemos efektyvumą. Pirmoje darbo dalyje teoriniu aspektu tiriamas bankų rizikos turinys, pateikiama bankų rizikos esmė bei klasifikavimo galimybės. Antroje dalyje nagrinėjamos aktyvų ir pasyvų strategijos, teorijos bei metodai. Trečioje dalyje analizuojamos ir vertinamos Lietuvos komercinių bankų veiklos bei likvidumo rizikos rodikliai, pokyčių tendencijos. / In Master‘ s Work is analysed and evaluated opportunity and effectiveness an of development liquidity of management in Lithuanian Banks of. There are provided to the possibilities to improve activity of bank. In the first part of this work we’ve provided conception of risk management and different risk classification models. In the second part of this work there are consideratios strategy, theories and methods of assets and liabilities. In the third part of work analyse and there is an evaluation at liquidity risk rates of Lithuanian commercial banks, also tendency of changes.
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Posouzení informačního systému firmy a návrh změn / Assessment of the Information System and the Proposal for Modification of Specific CompanyČička, Dominik January 2019 (has links)
This diploma thesis deals with the analysis of the environment of the company TEFIS s.r.o., active in the logistics industry. It discusses the assessment and suggestions for changes to the company's information system. Given issues contains the theoretical background to the given issues and analyzes that were carried out in the company environment. Based on the analysis, the work actually includes suggestions for solutions for streamlining the information system and an overall summary.
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Analýza rizik procesu výroby svařence / Risk Analysis of a Weldment Production ProcessSlámová, Aneta January 2020 (has links)
This diploma thesis is focused on the risk analysis of a selected production process of the company SIK METAL s.r.o. The work is divided into three parts, the theoretical part, then the analysis of the current state and the design part. The theoretical part defines the basic concepts that relate to risks. These theoretical findings are then applied in the second part of the work, where risk identification is performed using various types of analysis. Based on selected analyzes, proposals and recommendations are proposed in the final part of the diploma thesis. Proposals and recommendations contain financial quantifications.
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