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Title: Teoría de la ruina y aplicaciones prácticas
Author: Milián Martínez, Paula
Director/Tutor: Vives i Santa Eulàlia, Josep, 1963-
Keywords: Companyies d'assegurances
Treballs de fi de grau
Avaluació del risc
Risc de crèdit
Processos estocàstics
Insurance companies
Bachelor's thesis
Risk assessment
Credit risk
Stochastic processes
Issue Date: 17-Jan-2019
Abstract: [en] For the insurers, the calculation of their probability of ruin depends on random phenomena. This research aims to find a methodology for the determination of the ruin probability of an insurance company. Furthermore, this research aims to apply the results in some practical cases. For the explained above, it is going to be developed a Ruin Theory, under different models for the cash flow, in terms of the number of claims and its amount. Specifically, there are going to be explained the Classical and Renewal Models of Cramér-Lundberg and the Net Profit Condition. These will be the assumptions un- der which an explicit equation can be given for the probability of ruin or a limit to approximate it. Finally, all of the above will be applied assuming a distribution function for the amount of claims. It is going to be analyzed how the probability of Ruin is affected against the variation of the initial capital or the security surcharge for infinite time and it is going to be simulated some data to approximate the probability of Ruin in a finite time.
Note: Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: Josep Vives i Santa Eulàlia
Appears in Collections:Treballs Finals de Grau (TFG) - Matemàtiques

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