The generalization of stop loss transforms and its applications in ruin probabilities
| dc.contributor.author | Cheng, Yu | en_US |
| dc.date.accessioned | 2007-05-15T19:04:50Z | |
| dc.date.available | 2007-05-15T19:04:50Z | |
| dc.date.issued | 1998-05-01T00:00:00Z | en_US |
| dc.degree.discipline | Mathematics, Computational and Statistical Sciences | en_US |
| dc.degree.level | Master of Science (M.Sc.) | en_US |
| dc.description.abstract | This thesis generalized the concept of stop-loss transforms, an important concept in risk theory (6), to the nth stop-loss transforms. Some useful properties of the nth stop-loss transforms were discovered and a recursion formula for the nth stop-loss transforms was established. Also, the maintenance properties of the nth stop-loss order under convolution, compound and mixture operations were proved. Finally the results mentioned above were applied to the study of losses $L\sb{i}\ (i = 1,2,\cdots),$ maximal aggregate loss L and ruin probability $T\psi(u).$ Some inequalities for the expectation of $L\sb{i}$ and L were given, and a relationship between the claim amount random variable and ruin probability was found. | en_US |
| dc.format.extent | 2209928 bytes | |
| dc.format.extent | 184 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.format.mimetype | text/plain | |
| dc.identifier.uri | http://hdl.handle.net/1993/1181 | |
| dc.language.iso | eng | en_US |
| dc.rights | open access | en_US |
| dc.title | The generalization of stop loss transforms and its applications in ruin probabilities | en_US |
| dc.type | master thesis | en_US |