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Title: Ruin probability in dependent risk models
Author: Qian, H.
ISNI:       0000 0004 7970 4173
Awarding Body: University of Liverpool
Current Institution: University of Liverpool
Date of Award: 2019
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This thesis considers one of the most active topics in actuarial mathematics literature, deriving the probability of ruin for the enlarged risk models. In this thesis, the classical Cramér-Lundberg risk process will be extended by several dependent risk processes, including the time dependent risk process, the claim dependent risk process and the surplus dependent risk process. Under these dependent model settings, we investigated the changes in the probabilities of ruin, which provides us with an approach of how to adapt classical risk theory to the contemporary complex financial market. In particular, for claim dependent model, we focused on the discrete binomial risk process and mixed over the parameter of the probability of successful claims. In addition, the inhomogeneous type of Seal's formulae are derived to obtain the finite time ruin probability under the time dependent risk process, which is referred as the inhomogeneous Poisson process model and a number of specific Cox processes. Furthermore, we analyzed the surplus dependent reinsurance contracts and applied ruin probability as the risk measure, which is evaluated by the idea of two barriers model.
Supervisor: Constantinescu, Corina ; Guo, Junyi Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral