Leung, Kit Hung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 47-48). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Classical Model --- p.1 / Chapter 1.2 --- Diffusion-perturbed model --- p.3 / Chapter 1.3 --- Hybrid computational scheme --- p.5 / Chapter 2 --- Integro-differential Equations --- p.7 / Chapter 2.1 --- Integro-differential equation of Chiu and Yin (2003) --- p.7 / Chapter 2.2 --- Integro-differential equations for ψs(u) and ψd(u) --- p.16 / Chapter 3 --- Numerical Method --- p.17 / Chapter 3.1 --- Trapezoidal approximation --- p.18 / Chapter 3.2 --- Boundary Conditions --- p.19 / Chapter 4 --- Importance Sampling --- p.22 / Chapter 4.1 --- Simulation Recipe --- p.25 / Chapter 4.2 --- Discussion --- p.26 / Chapter 5 --- Numerical Examples --- p.28 / Chapter 5.1 --- Probabilities of ruin: Oscillation and claim --- p.28 / Chapter 5.2 --- Comparison with the asymptotic results --- p.32 / Chapter 5.2.1 --- Ruin Probability --- p.38 / Chapter 5.2.2 --- Surplus before ruin --- p.40 / Chapter 5.2.3 --- Deficit after ruin --- p.42 / Chapter 6 --- Conclusion --- p.45 / References --- p.47
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326320 |
| Date | January 2008 |
| Contributors | Leung, Kit Hung., Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, ix, 48 leaves : ill. ; 30 cm. |
| Rights | Use 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/) |
Page generated in 0.0021 seconds