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A numerical solution for solving ruin probability of the classical model with two classes of correlated claims.

Cheung, Oi Lam Eunice. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 43-45). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Risk Theory --- p.1 / Chapter 1.2 --- Hybrid Numerical Scheme --- p.3 / Chapter 2 --- The Model --- p.5 / Chapter 2.1 --- Model --- p.5 / Chapter 2.2 --- Integro-Differential Equations --- p.8 / Chapter 2.3 --- Explicit Formulas and Asymptotic Properties --- p.13 / Chapter 3 --- Numerical Method --- p.16 / Chapter 3.1 --- From Integro-Differential Equations to Integral Equations --- p.17 / Chapter 3.2 --- Prom Integral Equations to Linear Equations --- p.19 / Chapter 3.3 --- Boundary Conditions --- p.20 / Chapter 3.4 --- Importance Sampling --- p.23 / Chapter 4 --- Numerical Study --- p.27 / Chapter 4.1 --- Exponential Claims with Equal Means --- p.28 / Chapter 4.1.1 --- Importance Sampling --- p.28 / Chapter 4.1.2 --- System of Linear Equations --- p.31 / Chapter 4.2 --- Exponential Claims with Unequal Means --- p.32 / Chapter 5 --- Conclusion --- p.40 / Bibliography --- p.43

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326287
Date January 2008
ContributorsCheung, Oi Lam Eunice., Chinese University of Hong Kong Graduate School. Division of Statistics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, viii, 45 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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