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On The Sparre-Andersen Risk Models, Ruixi Zhang
On The Sparre-Andersen Risk Models, Ruixi Zhang
Electronic Thesis and Dissertation Repository
This thesis develops several strategies for calculating ruin-related quantities for a variety of extended risk models. We focus on the Sparre-Andersen risk model, also known as the renewal risk model. The idea of arbitrary distribution for the waiting time between claim payments arose in the 1950’s from the collective risk theory, and received many extensions and modifications in recent years. Our goal is to tackle model assumptions that are either too relaxed for traditional methods to apply, or so complicated that elaborate algebraic tools are needed to obtain explicit solutions.
In Chapter 2, we consider a Lévy risk process and …
Some Recent Developments On Pareto-Optimal Reinsurance, Wenjun Jiang
Some Recent Developments On Pareto-Optimal Reinsurance, Wenjun Jiang
Electronic Thesis and Dissertation Repository
This thesis focuses on developing Pareto-optimal reinsurance policy which considers the interests of both the insurer and the reinsurer. The optimal insurance/reinsurance design has been extensively studied in actuarial science literature, while in early years most studies were concentrated on optimizing the insurer’s interests. However, as early as 1960s, Borch argued that “an agreement which is quite attractive to one party may not be acceptable to its counterparty” and he pioneered the study on “fair” risk sharing between the insurer and the reinsurer. Quite recently, the question of how to strike a balance in risk sharing between an insurer and …
Valuation And Risk Management Of Some Longevity And P&C Insurance Products, Yixing Zhao
Valuation And Risk Management Of Some Longevity And P&C Insurance Products, Yixing Zhao
Electronic Thesis and Dissertation Repository
Numerous insurance products linked to risky assets have emerged rapidly in the last couple of decades. These products have option-embedded features and typically involve at least two risk factors, namely interest and mortality risks. The need for models to capture risk factors' behaviours accurately is enormous and critical for insurance companies. The primary objective of this thesis is to develop pricing and hedging frameworks for option-embedded longevity products addressing correlated risk factors. Various methods are employed to facilitate the computation of prices and risk measures of longevity products including those with maturity benefits. Furthermore, in order to be prepared for …