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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Main Author: | Seah, Xin Hui |
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Other Authors: | Nicolas Privault |
Format: | Final Year Project |
Language: | English |
Published: |
2019
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Subjects: | |
Online Access: | http://hdl.handle.net/10356/77160 |
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Institution: | Nanyang Technological University |
Language: | English |
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