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Previous issue date: 2013-02-28 / Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior / In the work reported here we present theoretical and numerical results about a Risk
Model with Interest Rate and Proportional Reinsurance based on the article Inequalities
for the ruin probability in a controlled discrete-time risk process by Ros ario Romera and
Maikol Diasparra (see [5]). Recursive and integral equations as well as upper bounds for
the Ruin Probability are given considering three di erent approaches, namely, classical
Lundberg inequality, Inductive approach and Martingale approach. Density estimation
techniques (non-parametrics) are used to derive upper bounds for the Ruin Probability
and the algorithms used in the simulation are presented / Neste trabalho apresentamos resultados te?ricos e num?ricos referentes a um Modelo de Risco com Taxa de Juros e Resseguro Proporcional baseados no artigo Inequalities for the ruin probability in a controlled discrete-time risk process de Ros?rio Romera e Maikol Diasparra (veja [5]). Equa??es recursivas e integrais para a Probabilidade de Ru?na s?o obtidas bem como cotas superiores para a mesma por diferentes abordagens, a saber, pela cl?ssica desigualdade de Lundberg, pela abordagem Indutiva e pela abordagem Martingale. T?cnicas de estima??o de densidade (n?o-param?tricas) s?o utilizadas para a obten??o das cotas para a Probabilidade de Ru?na e os algoritmos utilizados na simula??o s?o apresentados
| Identifer | oai:union.ndltd.org:IBICT/oai:repositorio.ufrn.br:123456789/18646 |
| Date | 28 February 2013 |
| Creators | Rocha, Rafaela Horacina Silva |
| Contributors | CPF:71101497149, http://lattes.cnpq.br/8894486682278789, Gon?alves, Catia Regina, CPF:04507874866, http://lattes.cnpq.br/6892954393258300, Cruz, Juan Alberto Rojas, CPF:69121281149, http://lattes.cnpq.br/0061270564581180, Ferreira, Debora Borges |
| Publisher | Universidade Federal do Rio Grande do Norte, Programa de P?s-Gradua??o em Matem?tica Aplicada e Estat?stica, UFRN, BR, Probabilidade e Estat?stica; Modelagem Matem?tica |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Repositório Institucional da UFRN, instname:Universidade Federal do Rio Grande do Norte, instacron:UFRN |
| Rights | info:eu-repo/semantics/openAccess |
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