Ruin probabilities of compound poisson process복합 포아송 과정에서의 파산 확률
In this paper, we modify compound Poison process as two ways and investigate ruin probability. We first combine the process with the entrance process and approximate the ruin probability. For the next, without entrance process, we find the behavior of the ultimate ruin probability when the process has a general dependence structure.
- Advisors
- Kang, Wan-Moresearcher; 강완모
- Description
- 한국과학기술원 : 수리과학과,
- Publisher
- 한국과학기술원
- Issue Date
- 2014
- Identifier
- 592346/325007 / 020113257
- Language
- eng
- Description
학위논문(석사) - 한국과학기술원 : 수리과학과, 2014.8, [ iii, 26 p. ]
- Keywords
Ruin Probability; 코플라; 엔트런스 과정; 헤비테일; 복합 포아송 과정; 파산 확률; Compound Poisson Process; Heavy Tail; Entrance Process; Copula
- Appears in Collection
- MA-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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