In the literature of ruin theory, there have been extensive studies trying to generalize the classical insurance risk model. In this thesis, we look into two particular risk processes considering multi-dimensional risk and dependent structures respectively.
The first one is a bivariate risk process with a dividend barrier, which concerns a two-dimensional risk model under a barrier strategy. Copula is used to represent the dependence between two business lines when a common shock strikes. By defining the time of ruin to be the first time that either of the two lines has its surplus level below zero, we derive a discrete approximation procedure to calculate the expected discounted dividends until ruin under such a model. A thorough discussion of application in proportional reinsurance with numerical examples is provided as well as an examination of the joint optimal dividend barrier for the bivariate process.
The second risk process is a semi-Markovian dual risk process. Assuming that the dependence among innovations and waiting times is driven by a Markov chain, we analyze a quantity resembling the Gerber-Shiu expected discounted penalty function that incorporates random variables defined before and after the time of ruin, such as the minimum surplus level before ruin and the time of the first gain after ruin. General properties of the function are studied, and some exact results are derived upon distributional assumptions on either the inter-arrival times or the gain amounts. Applications in a perpetual insurance and the last inter-arrival time before ruin are given along with some numerical examples. / published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy
| Identifer | oai:union.ndltd.org:HKU/oai:hub.hku.hk:10722/195992 |
| Date | January 2013 |
| Creators | Liu, Luyin, 劉綠茵 |
| Contributors | Cheung, ECK |
| Publisher | The University of Hong Kong (Pokfulam, Hong Kong) |
| Source Sets | Hong Kong University Theses |
| Language | English |
| Detected Language | English |
| Type | PG_Thesis |
| Rights | The author retains all proprietary rights, (such as patent rights) and the right to use in future works., Creative Commons: Attribution 3.0 Hong Kong License |
| Relation | HKU Theses Online (HKUTO) |
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