Jukic, F. (2019). Application of large deviations in risk theory [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2019.52848
E105 - Institut für Stochastik und Wirtschaftsmathematik
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Date (published):
2019
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Number of Pages:
70
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Keywords:
Große Abweichungen; Satz von Mokulski; Satz von Sanov; Ruintheorie; Risikomaße
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Large Deviations; Mogulski's theorem; Sanov's theorem; Ruin theory; Risk measures
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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.