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Dissertations / Theses on the topic 'Risk (Insurance) – Mathematical models'

Author: Grafiati

Published: 4 June 2021

Last updated: 29 January 2023

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1

蕭德權 and Tak-kuen Siu. "Risk measures in finance and insurance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242297.

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2

Gong, Qi, and 龔綺. "Gerber-Shiu function in threshold insurance risk models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40987966.

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3

Wan, Lai-mei. "Ruin analysis of correlated aggregate claims models." Thesis, Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B30705708.

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4

Chau, Ki-wai, and 周麒偉. "Fourier-cosine method for insurance risk theory." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/208586.

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In this thesis, a systematic study is carried out for effectively approximating Gerber-Shiu functions under L´evy subordinator models. It is a hardly touched topic in the recent literature and our approach is via the popular Fourier-cosine method. In theory, classical Gerber-Shiu functions can be expressed in terms of an infinite sum of convolutions, but its inherent complexity makes efficient computation almost impossible. In contrast, Fourier transforms of convolutions could be evaluated in a far simpler manner. Therefore, an efficient numerical method based on Fourier transform is pursue

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5

Kwan, Kwok-man, and 關國文. "Ruin theory under a threshold insurance risk model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38320034.

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6

Liu, Luyin, and 劉綠茵. "Analysis of some risk processes in ruin theory." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hdl.handle.net/10722/195992.

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In the literature of ruin theory, there have been extensive studies trying to generalize the classical insurance risk model. In this thesis, we look into two particular risk processes considering multi-dimensional risk and dependent structures respectively. The first one is a bivariate risk process with a dividend barrier, which concerns a two-dimensional risk model under a barrier strategy. Copula is used to represent the dependence between two business lines when a common shock strikes. By defining the time of ruin to be the first time that either of the two lines has its surplus level be

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7

Chen, Yiqing, and 陳宜清. "Study on insurance risk models with subexponential tails and dependence structures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B42841768.

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8

Lin, Erlu, and 林尔路. "Analysis of dividend payments for insurance risk models with correlated aggregate claims." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203992.

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9

Wong, Tsun-yu Jeff, and 黃峻儒. "On some Parisian problems in ruin theory." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206448.

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Traditionally, in the context of ruin theory, most judgements are made on an immediate sense. An example would be the determination of ruin, in which a business is declared broke right away when it attains a negative surplus. Another example would be the decision on dividend payment, in which a business pays dividends whenever the surplus level overshoots certain threshold. Such scheme of decision making is generally being criticized as unrealistic from a practical point of view. The Parisian concept is therefore invoked to handle this issue. This idea is deemed more realistic since it allows

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10

Zhu, Jinxia, and 朱金霞. "Ruin theory under Markovian regime-switching risk models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203980.

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11

Leboho, Nakedi Wilson. "Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96980.

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Thesis (MSc)--Stellenbosch University, 2015<br>ENGLISH ABSTRACT : Equity-based insurance guarantees also known as unit-linked annuities are annuities with embedded exotic, long-term and path-dependent options which can be categorised into variable and equity indexed annuities, whereby investors participate in the security markets through insurance companies that guarantee them a minimum of their invested premiums. The difference between the financial options and options embedded in equity-based policies is that financial ones are financed by the option buyers’ premiums, whereas options of the

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12

Yeo, Keng Leong Actuarial Studies Australian School of Business UNSW. "Claim dependence in credibility models." Awarded by:University of New South Wales. School of Actuarial Studies, 2006. http://handle.unsw.edu.au/1959.4/25971.

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Existing credibility models have mostly allowed for one source of claim dependence only, that across time for an individual insured risk or a group of homogeneous insured risks. Numerous circumstances demonstrate that this may be inadequate and insufficient. In this dissertation, we developed a two-level common effects model, based loosely on the Bayesian model, which allows for two possible sources of dependence, that across time for the same individual risk and that between risks. For the case of Normal common effects, we are able to derive explicit formulas for the credibility premium. This

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13

Maj, Mateusz. "Essays in risk management: conditional expectation with applications in finance and insurance." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209668.

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In this work we study two problems motivated by Risk Management: the optimal design of financial products from an investor's point of view and the calculation of bounds and approximations for sums involving non-independent random variables. The element that interconnects these two topics is the notion of conditioning, a fundamental concept in probability and statistics which appears to be a useful device in finance. In the first part of the dissertation, we analyse structured products that are now widespread in the banking and insurance industry. These products typically protect the investor a

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14

Zhou, Junhua, and 周俊华. "To survive and succeed in the risky financial world: applications of mathematical optimization in finance andinsurance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44407579.

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15

Ndoumbe, Ebongue Steve Armand. "The risk model for insurance portfolio has been adopted to portfolio of derivatives. Describe the models and compare with a focus on the differences." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-11293.

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16

Drakenward, Ellinor, and Emelie Zhao. "Modeling risk and price of all risk insurances with General Linear Models." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275696.

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Denna kandidatexamen ligger inom området matematisk statistik. I samarbete med försäkringsbolaget Hedvig syftar denna avhandling till att utforska en ny metod för hantering av Hedvigs försäkringsdata genom att bygga en prissättningsmodell för alla riskförsäkringar med generaliserade linjära modeller. Två generaliserade linjära modeller byggdes, där den första förutspår frekvensen för ett anspråk och den andra förutspår svårighetsgraden. De ursprungliga uppgifterna delades in i 9 förklarande variabler. Båda modellerna inkluderade fem förklarande variabler i början och reducerades sedan. Minskni

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17

Badran, Rabih. "Insurance portfolio's with dependent risks." Doctoral thesis, Universite Libre de Bruxelles, 2014. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209547.

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Cette thèse traite de portefeuilles d’assurance avec risques dépendants en théorie du risque.<p>Le premier chapitre traite les modèles avec risques équicorrelés. Nous proposons une structure mathématique qui amène à une fonction génératrice de probabilités particulière (fgp) proposé par Tallis. Cette fgp implique des variables équicorrelées. Puis, nous étudions l’effet de ce type de dépendance sur des quantités d’intérêt dans la littérature actuarielle telle que la fonction de répartition de la somme des montants des sinistres, les primes stop-loss et les probabilités de ruine sur horizon fini

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18

Yamazato, Makoto. "Non-life Insurance Mathematics." Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/96535.

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In this work we describe the basic facts of non-life insurance and then explain risk processes. In particular, we will explain in detail the asymptotic behavior of the probability that an insurance product may end up in ruin during its lifetime. As expected, the behavior of such asymptotic probability will be highly dependent on the tail distribution of each claim.<br>En este artículo describimos los conceptos básicos relacionados a seguros que no sean de vida y luego explicamos procesos de riesgo. En particular, tratamos al detalle el comportamiento asintótico de la probabilidad de que un pro

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19

Gathy, Maude. "On some damage processes in risk and epidemic theories." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210063.

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Cette thèse traite de processus de détérioration en théorie du risque et en biomathématique.<p><p>En théorie du risque, le processus de détérioration étudié est celui des sinistres supportés par une compagnie d'assurance.<p><p>Le premier chapitre examine la distribution de Markov-Polya comme loi possible pour modéliser le nombre de sinistres et établit certains liens avec la famille de lois de Katz/Panjer. Nous construisons la loi de Markov-Polya sur base d'un modèle de survenance des sinistres et nous montrons qu'elle satisfait une récurrence élégante. Celle-ci permet notamment de déduire un

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20

Sahlin, Carl, and Carl-Johan Hugner. "Dealing with the ORSA : A Dynamic Risk-Factor Based Approach for the Small, Swedish Non-Life Insurer." Thesis, KTH, Industriell Management, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-133477.

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The Own Risk and Solvency Assessment, ORSA, is referred to as the heart of the regulation to be for European insurance companies - Solvency II. The aim of the ORSA process is to provide an overall and holistic view of the insurer’s risks by analyzing their current financial status and business strategy at hand. There is no predefined way to implement this process, which means that the companies are forced to develop a model themselves, as they see fit. In collaboration with a regional insurance company in Sweden we develop a structure and framework for an ORSA-model, flexible enough to be used

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21

Gong, Qi. "Gerber-Shiu function in threshold insurance risk models." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B40987966.

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22

Solcà, Tatiana. "Expected risk-adjusted return for insurance based models." Zürich : Swiss Federal Institute of Technology Zurich, Department of Mathematics, 2000. http://e-collection.ethbib.ethz.ch/show?type=dipl&nr=21.

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23

Wat, Kam-pui, and 屈錦培. "Discrete-time insurance risk models with dependence structures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B47849666.

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Regarding the relationships among different insurance claims, especially in non-life insurance, the dependence behaviour in various models has been studied extensively. In this thesis, some discrete-time risk models with dependence structures would be investigated. One traditional discrete-time risk model is the time series risk model, in which the dependence would be on two aspects: time correlated claims and dependent business classes. A general vector (multivariate) autoregressive moving average (VARMA) model would be adopted to analyze the ruin probability of a surplus process.

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24

Siu, Kin-bong Bonny, and 蕭健邦. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.

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25

Ngwenza, Dumisani. "Quantifying Model Risk in Option Pricing and Value-at-Risk Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31059.

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Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston a

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26

Ong, Alen Sen Kay. "Asset location decision models in life insurance." Thesis, City University London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.336430.

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27

Wu, Xueyuan, and 吳學淖. "On insurance risk models with correlated classes of business." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B27575329.

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(Uncorrected OCR) Abstract of the thesis entitled ON INSURANCE RISK MODELS WITH CORRELATED CLASSES OF BUSINESS submitted by Wu Xueyuan for the degree of Doctor of Philosophy at The University of Hong Kong in February 2004 In this thesis, we focus on ruin analysis of risk models wIth correlated classes of insurance business. Specifically, five risk models with different dependence relations between classes are introduced. For these models, various problems related to ruin probability are considered. vVe first study a continuous-time correlated aggregate clmms model with Poisson and

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28

Gu, Jiawen, and 古嘉雯. "On credit risk modeling and credit derivatives pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202367.

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In this thesis, efforts are devoted to the stochastic modeling, measurement and evaluation of credit risks, the development of mathematical and statistical tools to estimate and predict these risks, and methods for solving the significant computational problems arising in this context. The reduced-form intensity based credit risk models are studied. A new type of reduced-form intensity-based model is introduced, which can incorporate the impacts of both observable trigger events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigge

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29

Liu, Binbin, and 刘彬彬. "Some topics in risk theory and optimal capital allocation problems." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199291.

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In recent years, the Markov Regime-Switching model and the class of Archimedean copulas have been widely applied to a variety of finance-related fields. The Markov Regime-Switching model can reflect the reality that the underlying economy is changing over time. Archimedean copulas are one of the most popular classes of copulas because they have closed form expressions and have great flexibility in modeling different kinds of dependencies. In the thesis, we first consider a discrete-time risk process based on the compound binomial model with regime-switching. Some general recursive formu

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30

Zhu, Jinxia. "Ruin theory under Markovian regime-switching risk models." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/b40203980.

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31

Rong, Yian, and 戎軼安. "Applications of comonotonicity in risk-sharing and optimal allocation." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/207205.

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Over the past decades, researchers in economics, financial mathematics and actuarial science have introduced results to the concept of comonotonicity in their respective fields of interest. Comonotonicity is a very strong dependence structure and is very often mistaken as a dependence structure that is too extreme and unrealistic. However, the concept of comonotonicity is actually a useful tool for solving several research and practical problems in capital allocation, risk sharing and optimal allocation. The first topic of this thesis is focused on the application of comonotonicity in optim

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32

Basak, Rishi. "Environmental management systems and the intra-firm risk relationship." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0034/MQ64316.pdf.

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33

Chen, Yiqing. "Study on insurance risk models with subexponential tails and dependence structures." Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B42841768.

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34

Wei, Zhenghong. "Empirical likelihood based evaluation for value at risk models." HKBU Institutional Repository, 2007. http://repository.hkbu.edu.hk/etd_ra/896.

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35

Li, Tang, and 李唐. "Markov chain models for re-manufacturing systems and credit risk management." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203700.

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36

Hao, Fangcheng, and 郝方程. "Options pricing and risk measures under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B4714726X.

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37

Phipps, Shelley Ann. "An ethically flexible evaluation of unemployment insurance reform with constrained and unconstrained models of labour supply." Thesis, University of British Columbia, 1987. http://hdl.handle.net/2429/27509.

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The goal of this dissertation is to illustrate the importance and feasibility of conducting policy evaluations which pay attention to both efficiency and equity. Introducing an equity criterion necessarily involves introducing value judgements, but I suggest that objectivity can be maintained through the adoption of an 'ethically flexible' approach. That is, an analyst can avoid imposing his own particular values by explicitly conducting the evaluation from a number of different ethical positions. This dissertation illustrates the feasibility of an ethically flexible approach by carrying out

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38

Powell, Robert. "Industry value at risk in Australia." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2007. https://ro.ecu.edu.au/theses/297.

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Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 which allows banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. Conditional Value a

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39

Veraart, Luitgard Anna Maria. "Mathematical models for market making, option pricing and systemic risk." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613365.

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40

Xu, Xiaochen, and 徐笑晨. "Estimation of structural parameters in credibility context using mixedeffects models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B4020361X.

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41

Villaume, Erik. "Predicting customer level risk patterns in non-life insurance." Thesis, KTH, Matematisk statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103590.

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Several models for predicting future customer profitability early into customer life-cycles in the property and casualty business are constructed and studied. The objective is to model risk at a customer level with input data available early into a private consumer’s lifespan. Two retained models, one using Generalized Linear Model another using a multilayer perceptron, a special form of Artificial Neural Network are evaluated using actual data. Numerical results show that differentiation on estimated future risk is most effective for customers with highest claim frequencies.

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42

Parker, Bobby I. Mr. "Assessment of the Sustained Financial Impact of Risk Engineering Service on Insurance Claims Costs." Digital Archive @ GSU, 2011. http://digitalarchive.gsu.edu/math_theses/100.

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This research paper creates a comprehensive statistical model, relating financial impact of risk engineering activity, and insurance claims costs. Specifically, the model shows important statistical relationships among six variables including: types of risk engineering activity, risk engineering dollar cost, duration of risk engineering service, and type of customer by industry classification, dollar premium amounts, and dollar claims costs. We accomplish this by using a large data sample of approximately 15,000 customer-years of insurance coverage, and risk engineering activity. Data sample

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43

Li, Xiaofei 1972. "Three essays on the pricing of fixed income securities with credit risk." Thesis, McGill University, 2004. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84523.

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This thesis studies the impacts of credit risk, or the risk of default, on the pricing of fixed income securities. It consists of three essays. The first essay extends the classical corporate debt pricing model in Merton (1974) to incorporate stochastic volatility (SV) in the underlying firm asset value and derive a closed-form solution for the price of corporate bond. Simulation results show that the SV specification for firm asset value greatly increases the resulting credit spread levels. Therefore, the SV model addresses one major deficiency of the Merton-type models: namely, at sho

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44

Lo, Chi-ho, and 盧子豪. "Estimation of structural parameters for panel data in credibility context." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31557442.

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45

McTaggart, Kevin Andrew. "Hydrodynamics and risk analysis of iceberg impacts with offshore structures." Thesis, University of British Columbia, 1989. http://hdl.handle.net/2429/30733.

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The evaluation of design iceberg impact loads for offshore structures and the influence of hydrodynamic effects on impact loads are examined. Important hydrodynamic effects include iceberg added mass, wave-induced oscillatory iceberg motions, and the influence of a large structure on the surrounding flow field and subsequent velocities of approaching icebergs. The significance of these phenomena has been investigated using a two-body numerical diffraction model and through a series of experiments modelling the drift of various sized icebergs driven by waves and currents approaching a large of

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46

Lin, Erlu. "Analysis of dividend payments for insurance risk models with correlated aggregate claims." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/b40203992.

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47

Jiménez-Huerta, Diego. "Stochastic models and methods for the assessment of earthquake risk in insurance." Thesis, London School of Economics and Political Science (University of London), 2009. http://etheses.lse.ac.uk/302/.

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The problem of earthquake risk assessment and management in insurance is a challenging one at the interface of geophysics, engineering seismology, stochastics, insurance mathematics and economics. In this work, I propose stochastic models and methods for the assessment of earthquake risk from an insurer's point of view, where the aim is not to address problems in the financial mathematics and economics of risk selection, pricing, portfolio management, and risk transfer strategies such as reinsurance and securitisation, but to enable the latter through the characterisation of the foundation of

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48

Terciyanli, Erman. "Alternative Mathematical Models For Revenue Management Problems." Master's thesis, METU, 2009. http://etd.lib.metu.edu.tr/upload/12610711/index.pdf.

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In this study, the seat inventory control problem is considered for airline networks from the perspective of a risk-averse decision maker. In the revenue management literature, it is generally assumed that the decision makers are risk-neutral. Therefore, the expected revenue is maximized without taking the variability or any other risk factor into account. On the other hand, risk-sensitive approach provides us with more information about the behavior of the revenue. The risk measure we consider in this study is the probability that revenue is less than a predetermined threshold level. In the r

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49

Li, Yuming. "Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models." Thesis, University of British Columbia, 1987. http://hdl.handle.net/2429/26110.

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This thesis gives the formal derivations of the so-called Rubinstein's measures of risk aversion and their multivariate generalizations. The applications of these measures in portfolio selection models are also presented. Assuming that a decision maker's preferences can be represented by a unidimensional von Neumann and Morgenstern utility function, we consider a model with an uninsurable initial random wealth and an insurable risk. Under the assumption that the two random variables have a bivariate normal distribution, the second-order co-variance operator is developed from Stein/Rubinstein

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50

Malwandla, Musa. "Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20414.

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This thesis focuses on modelling the distributions of loss in consumer credit arrangements, both at an individual level and at a portfolio level, and how these might be influenced by loan-specific factors and economic factors. The thesis primarily aims to examine how these factors can be incorporated into a credit risk model through logistic regression models and threshold regression models. Considering the fact that the specification of a credit risk model is influenced by its purpose, the thesis considers the IFRS 7 and IFRS 9 accounting requirements for impairment disclosure as well as Bas

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