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Author
Jasiulewicz Helena (Uniwersytet Przyrodniczy we Wrocławiu)
Title
Discrete-time financial surplus models for insurance companies
Source
Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa, 2010, nr 21, s. 225-255, bibliogr. 40 poz.
Issue title
Zagadnienia aktuarialne : teoria i praktyka
Keyword
Inwestowanie, Model oceny finansów przedsiębiorstwa, Ocena ryzyka
Investing, Enterprises financial evaluations models, Risk assessment
Note
streszcz., summ.
Abstract
W artykule dokonano przeglądu znanych w literaturze modeli procesu nadwyżki w czasie dyskretnym i uzyskanych wyników dotyczących prawdopodobieństwa ruiny i rozkładów zmiennych losowych związanych z czasem ruiny w omawianych modelach. Zostały przedstawione: złożone dwumianowe modele ryzyka z niezależnymi i zależnymi roszczeniami, model Sparre Andersena procesu nadwyżki z niezależnymi i zależnymi roszczeniami oraz modele uwzględniające inwestowanie nadwyżki. Omówione zostały prace, w których rozważane są aproksymacje modeli ciągłych w czasie przez modele dyskretne. (abstrakt oryginalny)

This paper reviews available discrete-time surplus models and results concerning the ruin probability and the distribution of random variables related to the time of ruin in the discussed models. The following models are presented: compound binomial risk model with independent and dependent claims, Sparre Andersen model of surplus process with independent and dependent claims, and models allowing for surplus investment. The review covers works discussing continuous model approximations using discrete models.(original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Bibliography
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ISSN
1232-4671
Language
eng
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