Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks
This paper investigates the probability of ruin within a finite period of time in the context of an insurance company. It examines the reserve of an insurance business that is currently invested in a risky asset. There are 2 types of risks faced by the insurer: financial and insurance risks. This pa...
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| Online Access: | http://hdl.handle.net/10356/77160 |
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sg-ntu-dr.10356-771602023-02-28T23:13:59Z Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks Seah, Xin Hui Nicolas Privault School of Physical and Mathematical Sciences DRNTU::Science::Mathematics This paper investigates the probability of ruin within a finite period of time in the context of an insurance company. It examines the reserve of an insurance business that is currently invested in a risky asset. There are 2 types of risks faced by the insurer: financial and insurance risks. This paper assumes that the risks have heavy-tailed distribution so as to mirror the real world, and aims to find estimates of the finite time ruin probability when insurance risk dominates financial risk and also when financial risk dominates insurance risk. Bachelor of Science in Mathematical Sciences 2019-05-14T08:46:10Z 2019-05-14T08:46:10Z 2019 Final Year Project (FYP) http://hdl.handle.net/10356/77160 en 38 p. application/pdf |
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Singapore Singapore |
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DRNTU::Science::Mathematics |
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DRNTU::Science::Mathematics Seah, Xin Hui Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks |
| description |
This paper investigates the probability of ruin within a finite period of time in the context of an insurance company. It examines the reserve of an insurance business that is currently invested in a risky asset. There are 2 types of risks faced by the insurer: financial and insurance risks. This paper assumes that the risks have heavy-tailed distribution so as to mirror the real world, and aims to find estimates of the finite time ruin probability when insurance risk dominates financial risk and also when financial risk dominates insurance risk. |
| author2 |
Nicolas Privault |
| author_facet |
Nicolas Privault Seah, Xin Hui |
| format |
Final Year Project |
| author |
Seah, Xin Hui |
| author_sort |
Seah, Xin Hui |
| title |
Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks |
| title_short |
Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks |
| title_full |
Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks |
| title_fullStr |
Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks |
| title_full_unstemmed |
Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks |
| title_sort |
ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks |
| publishDate |
2019 |
| url |
http://hdl.handle.net/10356/77160 |
| _version_ |
1759854952053735424 |