The generalization of stop loss transforms and its applications in ruin probabilities
This thesis generalized the concept of stop-loss transforms, an important concept in risk theory (6), to the nth stop-loss transforms. Some useful properties of the nth stop-loss transforms were discovered and a recursion formula for the nth stop-loss transforms was established. Also, the maintenanc...
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2007
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| Online Access: | http://hdl.handle.net/1993/1181 |
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ndltd-MANITOBA-oai-mspace.lib.umanitoba.ca-1993-11812014-01-31T03:30:31Z The generalization of stop loss transforms and its applications in ruin probabilities Cheng, Yu This thesis generalized the concept of stop-loss transforms, an important concept in risk theory (6), to the nth stop-loss transforms. Some useful properties of the nth stop-loss transforms were discovered and a recursion formula for the nth stop-loss transforms was established. Also, the maintenance properties of the nth stop-loss order under convolution, compound and mixture operations were proved. Finally the results mentioned above were applied to the study of losses $L\sb{i}\ (i = 1,2,\cdots),$ maximal aggregate loss L and ruin probability $T\psi(u).$ Some inequalities for the expectation of $L\sb{i}$ and L were given, and a relationship between the claim amount random variable and ruin probability was found. 2007-05-15T19:04:50Z 2007-05-15T19:04:50Z 1998-05-01T00:00:00Z http://hdl.handle.net/1993/1181 en_US |
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NDLTD |
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en_US |
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NDLTD |
| description |
This thesis generalized the concept of stop-loss transforms, an important concept in risk theory (6), to the nth stop-loss transforms. Some useful properties of the nth stop-loss transforms were discovered and a recursion formula for the nth stop-loss transforms was established. Also, the maintenance properties of the nth stop-loss order under convolution, compound and mixture operations were proved. Finally the results mentioned above were applied to the study of losses $L\sb{i}\ (i = 1,2,\cdots),$ maximal aggregate loss L and ruin probability $T\psi(u).$ Some inequalities for the expectation of $L\sb{i}$ and L were given, and a relationship between the claim amount random variable and ruin probability was found. |
| author |
Cheng, Yu |
| spellingShingle |
Cheng, Yu The generalization of stop loss transforms and its applications in ruin probabilities |
| author_facet |
Cheng, Yu |
| author_sort |
Cheng, Yu |
| title |
The generalization of stop loss transforms and its applications in ruin probabilities |
| title_short |
The generalization of stop loss transforms and its applications in ruin probabilities |
| title_full |
The generalization of stop loss transforms and its applications in ruin probabilities |
| title_fullStr |
The generalization of stop loss transforms and its applications in ruin probabilities |
| title_full_unstemmed |
The generalization of stop loss transforms and its applications in ruin probabilities |
| title_sort |
generalization of stop loss transforms and its applications in ruin probabilities |
| publishDate |
2007 |
| url |
http://hdl.handle.net/1993/1181 |
| work_keys_str_mv |
AT chengyu thegeneralizationofstoplosstransformsanditsapplicationsinruinprobabilities AT chengyu generalizationofstoplosstransformsanditsapplicationsinruinprobabilities |
| _version_ |
1716627894409625600 |