Název: Proces rizika s náhodným příjmem
Překlad názvu: Risk Process with Random Income
Autoři: Ringlerová, Anna ; Klebanov, Lev (vedoucí práce) ; Mazurová, Lucie (oponent)
Typ dokumentu: Diplomové práce
Rok: 2007
Jazyk: eng
Abstrakt: This diploma thesis deals with risk processes. It describes a classical risk process and mentions the ruin probability. A convolution formula and the Beekman convolution formula for calculating the ruin probability are deduced for the classical risk process. The following part of the thesis provides the investigation of the Cram¶er-Lundberg, the Beekman-Bowers and the De Vylder approximation to the ruin probability. The accuracy of approximations is illustrated in two examples. Afterwards, a risk process with random income is studied and a convolution formula for such a process is derived. In an example, the classical risk process is taken as a specic type of the risk process with random income. For such a process, the ruin probability computed by the convolution formula for classical risk process is compared to the ruin probability computed by the convolution formula for the risk process with random income. It is shown that sometimes the ruin probability is undervalued when computed by the convolution formula for classical risk process.

Instituce: Fakulty UK (VŠKP) (web)
Informace o dostupnosti dokumentu: Dostupné v digitálním repozitáři UK.
Původní záznam: http://hdl.handle.net/20.500.11956/13298

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-495408


Záznam je zařazen do těchto sbírek:
Školství > Veřejné vysoké školy > Univerzita Karlova > Fakulty UK (VŠKP)
Vysokoškolské kvalifikační práce > Diplomové práce