Probabilidad de ruina en tiempo infinito modelando la distribución de reclamos mediante un proceso Panjer
Cargando...
Autores
Beltrán Cortés, Ana María
Director
Tipo de contenido
Document language:
Español
Fecha
Título de la revista
ISSN de la revista
Título del volumen
Documentos PDF
Resumen
En esta tesis se estudia la probabilidad de que las reservas de una compañía de seguros no sean suficientes para cubrir todas sus obligaciones cuando sobre el modelo de riesgo colectivo se supone que la frecuencia de las reclamaciones sigue un proceso no homogéneo de Panjer. Dicho proceso fue definido por Iseger et al. (1997) y estudiado por Jiménez M. and Arunachalam (2016). Como resultado de la investigación aquí realizada se obtuvieron propiedades nuevas del proceso no homogéneo de Panjer y se verificó que cuando la severidad de las reclamaciones en el proceso de riesgo se distribuye exponencial, la probabilidad de ruina clásica es un caso particular de la expresión aquí obtenida.
Abstract: This thesis studies the probability that the reserves of an insurance company are not enough to cover all their obligations when the collective risk model assumes that the frequency of the claims follows an inhomogeneous Panjer process. This process was defined by Iseger et al. (1997) and studied by Jim´enez M. and Arunachalam (2016). As a result of the research carried out here, new properties of the inhomogeneous Panjer process were obtained and it was verified that when the severity of the claims in the risk process is exponentially distributed, the probability of classical ruin is a particular case of the expression obtained here.
Abstract: This thesis studies the probability that the reserves of an insurance company are not enough to cover all their obligations when the collective risk model assumes that the frequency of the claims follows an inhomogeneous Panjer process. This process was defined by Iseger et al. (1997) and studied by Jim´enez M. and Arunachalam (2016). As a result of the research carried out here, new properties of the inhomogeneous Panjer process were obtained and it was verified that when the severity of the claims in the risk process is exponentially distributed, the probability of classical ruin is a particular case of the expression obtained here.