Approximation of ruin probability using phase-type distributions

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dc.contributor.advisorPärna, Kalev, juhendaja
dc.contributor.authorSmirnov, Kirill
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ülikool. Matemaatika ja statistika instituutet
dc.date.accessioned2020-07-01T12:32:08Z
dc.date.available2020-07-01T12:32:08Z
dc.date.issued2020
dc.description.abstractThe purpose of this master’s thesis is to find an approximation of ruin probabilities that is more accurate than well-known De Vylder’s method, but at the same time is mathematically simple enough. This new approximation method is based on the idea of De Vylder’s approximation, but instead of exponential distribution of claims some more complicated phase-type distributions are used. In theoretical part of the thesis an overview of main concepts of risk theory, the notion of phase-type distribution and De Vylder’s approximation is given. In practical part accuracy of six approximations of ruin probability based on phase-type distributions are compared with De Vylder’s method. The comparison is based on numerical examples of four different risk processes. According to the results, new methods are more accurate than De Vylder’s approximation.en
dc.identifier.urihttp://hdl.handle.net/10062/68243
dc.language.isoenget
dc.rightsopenAccesset
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectlaostumistõenäosuset
dc.subjectfaas-tüübi jaotuset
dc.subjectrisk processen
dc.subjectriskiprotsesset
dc.subjecteksponentjaotuset
dc.subjectDe Vylderi meetodet
dc.subjectDe Vylder’s approximationen
dc.subjectexponential distributionen
dc.subjectrisk processen
dc.subjectphase-type distributionen
dc.subjectruin probabilityen
dc.subject.otherriskiteooriaet
dc.subject.otherrisk theoryen
dc.titleApproximation of ruin probability using phase-type distributionsen
dc.typeinfo:eu-repo/semantics/masterThesiset

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