The most natural stochastic models for describing the time evolution of the collective risk reserves of an insurance company are jump or point process models. However, there are difficulties in obtaining from such models explicit and tractable expressions for important quantities such as the probability of ruin and these have spawned the development of procedures to approximate point process models. In this thesis, the nature of weak approximations, as put forward by Iglehart (1969) and Furrer, Michna & Weron (1996), is examined closely with a view toward assessing their value. An interpretation of these approximation procedures is given and a method by which the value of weak approximations may be improved is suggested by considering their Levy-Grigelionis-Jacod characteristics.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:QMM.27270 |
| Date | January 1997 |
| Creators | Alexander, David R., 1965- |
| Contributors | Garrido, Jose (advisor) |
| Publisher | McGill University |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Format | application/pdf |
| Coverage | Master of Science (Department of Mathematics and Statistics.) |
| Rights | All items in eScholarship@McGill are protected by copyright with all rights reserved unless otherwise indicated. |
| Relation | alephsysno: 001555905, proquestno: MQ29644, Theses scanned by UMI/ProQuest. |
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