Approximation of ruin probability using phase-type distributions
Kuupäev
2020
Autorid
Ajakirja pealkiri
Ajakirja ISSN
Köite pealkiri
Kirjastaja
Abstrakt
The 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.
Kirjeldus
Märksõnad
laostumistõenäosus, faas-tüübi jaotus, risk process, riskiprotsess, eksponentjaotus, De Vylderi meetod, De Vylder’s approximation, exponential distribution, risk process, phase-type distribution, ruin probability