masterThesis
Modelo de risco controlado por resseguro e desigualdades para a probabilidade de ruína
Fecha
2013-02-28Registro en:
ROCHA, Rafaela Horacina Silva. Modelo de risco controlado por resseguro e desigualdades para a probabilidade de ruína. 2013. 84 f. Dissertação (Mestrado em Probabilidade e Estatística; Modelagem Matemática) - Universidade Federal do Rio Grande do Norte, Natal, 2013.
Autor
Rocha, Rafaela Horacina Silva
Resumen
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