A hybrid method for solving the ruin functionals of the classical risk model perturbed by diffusion.
Leung, Kit Hung. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. === Includes bibliographical references (leaves 47-48). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 1.1 --- Classical Model --- p.1 === Chapter 1.2 --- Diffusion-perturbed mod...
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| Format: | Others |
| Language: | English Chinese |
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2008
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| Online Access: | http://library.cuhk.edu.hk/record=b5893770 http://repository.lib.cuhk.edu.hk/en/item/cuhk-326320 |
| Summary: | Leung, Kit Hung. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. === Includes bibliographical references (leaves 47-48). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 1.1 --- Classical Model --- p.1 === Chapter 1.2 --- Diffusion-perturbed model --- p.3 === Chapter 1.3 --- Hybrid computational scheme --- p.5 === Chapter 2 --- Integro-differential Equations --- p.7 === Chapter 2.1 --- Integro-differential equation of Chiu and Yin (2003) --- p.7 === Chapter 2.2 --- Integro-differential equations for ψs(u) and ψd(u) --- p.16 === Chapter 3 --- Numerical Method --- p.17 === Chapter 3.1 --- Trapezoidal approximation --- p.18 === Chapter 3.2 --- Boundary Conditions --- p.19 === Chapter 4 --- Importance Sampling --- p.22 === Chapter 4.1 --- Simulation Recipe --- p.25 === Chapter 4.2 --- Discussion --- p.26 === Chapter 5 --- Numerical Examples --- p.28 === Chapter 5.1 --- Probabilities of ruin: Oscillation and claim --- p.28 === Chapter 5.2 --- Comparison with the asymptotic results --- p.32 === Chapter 5.2.1 --- Ruin Probability --- p.38 === Chapter 5.2.2 --- Surplus before ruin --- p.40 === Chapter 5.2.3 --- Deficit after ruin --- p.42 === Chapter 6 --- Conclusion --- p.45 === References --- p.47 |
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