| Title: | Application of large deviations in risk theory | Language: | English | Authors: | Jukic, Filip | Qualification level: | Diploma | Keywords: | Große Abweichungen; Satz von Mokulski; Satz von Sanov; Ruintheorie; Risikomaße Large Deviations; Mogulski's theorem; Sanov's theorem; Ruin theory; Risk measures |
Advisor: | Gerhold, Stefan | Issue Date: | 2019 | Number of Pages: | 70 | Qualification level: | Diploma | Abstract: | In this paper we will explore how large deviation theory can be applied to risk measures and ruin theory. After giving a detailed introduction to large deviations and a short introduction to ruin theory and risk measures, we will analyse the application to a model with an insurer and a reinsurer, a risk measure model with mixed distributions and the estimation of the ruin probability. Lastly I will present some results for the numerical implementation of the previously mentioned models. |
URI: | https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-122225 http://hdl.handle.net/20.500.12708/10511 |
Library ID: | AC15325467 | Organisation: | E105 - Institut für Stochastik und Wirtschaftsmathematik | Publication Type: | Thesis Hochschulschrift |
| Appears in Collections: | Thesis |
Files in this item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Application of large deviations in risk theory.pdf | 765.82 kB | Adobe PDF |  View/Open |
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