Continuous-Time Ruin Model with Dependent Variable

摘要：

　　The continuous-time ruin model is a core model in the non-life insurance of Actuarial Science.It has an important role on calculating the ruin time,ruin probability and capital reserve.In addition,it is also applicable to stochastic process in finance and assets pricing in financial engineering.The independent assumption,which two variables in the ruin model follow,cannot hold in real world.The paper considers a generation of continuous-time ruin model by setting model variable dependence and investigates the model on which the dependent variable has effect.Moreover,the paper simulates the ruin process using the Monte Carlo methods.The simulation can be used to calculate the ruin probability using the numerical methods and compare the numerical solution with analytical solution.

作者: YUPING LAN GE GUO

作者单位: International Business Faculty,Beijing Normal University Zhuhai Campus,Jinfeng Road,Zhuhai,China Department of Statistics,London School of Economics and Political Science,Houghton Street,London,UK

会议类型: 国际会议

会议名称: 2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)

会议地点: 上海

会议语种:英文

页码: 1-9

在线出版日期: 2014-05-24（万方平台首次上网日期，不代表论文的发表时间）