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

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