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Author
Rudź Marcin (Technical University of Łódź)
Title
Metoda wyznaczania dokładnych prawdopodobieństw ruiny w modelach dyskretnych
A method of calculating exact ruin probabilities in discrete time models
Source
Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa, 2015, nr 37, s. 308-322, rys., bibliogr. 20 poz.
Issue title
Zagadnienia aktuarialne - teoria i praktyka
Keyword
Modele oceny ryzyka, Prawdopodobieństwo, Stopa procentowa
Risk assessment models, Probability, Interest rate
Note
streszcz., summ
Abstract
W niniejszej pracy zaprezentowano zastosowanie operatora całkowego generowanego przez proces ryzyka z czasem dyskretnym do wyznaczania dokładnych wzorów na prawdopodobieństwo ruiny. Metodologia jest oparta na znajdowaniu punktu stałego operatora i weryfikowaniu, czy jest on tożsamościowo równy prawdopodobieństwu ruiny. Dokładne wzory są wyprowadzone zarówno dla absolutnie ciągłego, jak i dla dyskretnego rozkładu wysokości szkód. Podane są również przykłady numeryczne. (abstrakt oryginalny)

The paper presents an application of an integral operator generated by the discrete time risk process to determining the exact formulae for ruin probabilities. The methodology is based on finding a fixed point of the operator and verifying whether it is identically equal to the probability of ruin. The exact ruin probabilities are derived for an absolutely continuous as well as for a discrete amount distribution of claims. Numerical examples are also given.(original abstract)
Accessibility
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
Bibliography
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ISSN
1232-4671
Language
eng
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