非寿险精算Ruin-problem课件.ppt
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1、Ch6 Ruin problem IntroductionDiscrete time ruin modelContinuous time ruin modelBrownian ruin modelCh6.1 IntroductionWhy to consider the ruin problem?To support a long-run finance planningTo maintain the insurers solencyTo arrange risk managementDifference with aggregate risk modelDynamically vs.Stat
2、ic Long term modeling vs.short term modelingRisk model:describe the surplus of the insurer over timeCh6.2 Discrete time ruin modelModeling surplus at integer time t Initial reserve PremiumTotal claims/aggregate lossSurplusGross premium Surplus Ch6.2 Discrete time ruin modelTime of ruin Ultimate Surv
3、ival prob.Finite time Survival prob.Ultimate Ruin prob.Finite time ruin prob.Ch6.3 continuous time ruin modelTime of ruin Ultimate Survival prob.Finite time Survival prob.Ultimate Ruin prob.Finite time ruin prob.Ch6.3 continuous time ruin modelCh6.3 continuous time ruin modelIntegro-differential equation of ruin probabilityUpper bound of ruin probabilityAsymptotic of ruin probability
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- 寿险 精算 Ruin problem 课件
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