統計数学セミナー
Seminar on Probability and Statistics |
Home : Archive [ 2003 to 04 ] [ 2004 to 05 ] [ 2005 to 06 ] [ 2006 to 07 ] [ 2007 to 08 ] [ 2008 to 09 ] [ 2009 to 10 ] [ 2010 to 11 ] [ 2011 to 12 ] [ 2012 to 13 ] [ 2013 to 14 ] [ 2014 to 15 ] |
Previous Seminar : Next Seminar |
Seminar on Probability and Statistics Friday October 19 2012 Tokyo 006 2:50-4:00 pm
Asymptotic expansion of ruin probability under Lévy insurance risks
清水 泰隆 / SHIMIZU, Yasutaka 大阪大学大学院基礎工学研究科 / Graduate School of Engineering Science, Osaka University Abstract An asymptotic expansion formula of the ultimate ruin probability under L'evy insurance risks
is given as the loading factor tends to zero. The formula is obtained via the Edgeworth type expansion of
the compound geometric random sum. We give higher-order expansions of the ruin probability with a certain validity.
This allows us to evaluate quantile of the ruin function, which is nicely applied to estimate the VaR-type risk measure due to ruin.
|
Previous Seminar : Next Seminar | Seminar on Probability and Statistics |