Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/77160
Title: Ruin probability of insurer in a discrete time setting with heavy-tailed insurance and financial risks
Authors: Seah, Xin Hui
Keywords: DRNTU::Science::Mathematics
Issue Date: 2019
Abstract: 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.
URI: http://hdl.handle.net/10356/77160
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Student Reports (FYP/IA/PA/PI)

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