On a modification of the classical risk process

• Autorzy: Mykola Bratiychuk , Dominika Derfla
• Języki publikacji: EN

Abstrakty

EN

In the present article we implement the idea of the switching premium rate in a setting which allows us not only to avoid the premium rate being switched too often but consider the risk process with perturbation. We suggest another approach to the study of the ruin probability, which is based on the potential method proposed by and which leads to the formulae convenient for asymptotic analysis. The paper is organized as follows. In the second section we present the model and necessary auxiliary facts to be used later on. They are well-known. We find the formula for the ruin probability. Its asymptotic analysis will be performed in Sec.3.(fragment of text)

Słowa kluczowe

EN

Risk; Modification; Risk assessment models; Value at Risk Analysis

PL

Ryzyko; Modyfikacja; Modele oceny ryzyka; Analiza wartości zagrożonej

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2008
• Tom: Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2006
• Strony: 65--76

Twórcy

autor

Mykola Bratiychuk

• Politechnika Śląska

autor

Dominika Derfla

• Politechnika Śląska

Bibliografia

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