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Exponential asymptotic expansions and Monte Carlo studies for ruin probabilities
Mälardalen University, School of Education, Culture and Communication. (Analytical Finance)ORCID iD: 0000-0002-0835-7536
(English)In: Journal of Statistical Planning and Inference, ISSN 0378-3758, E-ISSN 1873-1171Article in journal (Refereed) Submitted
Abstract [en]

This paper presents the exponential asymptotic expansions for the ruin probability in a special model of non-linearly perturbed risk processes with non-polynomial perturbations. Monte Carlo studies are performed to investigate the accuracy and other properties of the asymptotic formulas.

Keywords [en]
perturbed risk process; renewal equation; ruin probability; nonlinear perturbation; non-polynomial perturbation; Monte Carlo simulation
Identifiers
URN: urn:nbn:se:mdh:diva-9352OAI: oai:DiVA.org:mdh-9352DiVA, id: diva2:302084
Available from: 2010-03-04 Created: 2010-03-04 Last updated: 2017-12-12Bibliographically approved
In thesis
1. Perturbed Renewal Equations with Non-Polynomial Perturbations
Open this publication in new window or tab >>Perturbed Renewal Equations with Non-Polynomial Perturbations
2010 (English)Licentiate thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis deals with a model of nonlinearly perturbed continuous-time renewal equation with nonpolynomial perturbations. The characteristics, namely the defect and moments, of the distribution function generating the renewal equation are assumed to have expansions with respect to a non-polynomial asymptotic scale: $\{\varphi_{\nn} (\varepsilon) =\varepsilon^{\nn \cdot \w}, \nn \in \mathbf{N}_0^k\}$  as $\varepsilon \to 0$, where $\mathbf{N}_0$ is the set of non-negative integers, $\mathbf{N}_0^k \equiv \mathbf{N}_0 \times \cdots \times \mathbf{N}_0, 1\leq k <\infty$ with the product being taken $k$ times and $\w$ is a $k$ dimensional parameter vector that satisfies certain properties. For the one-dimensional case, i.e., $k=1$, this model reduces to the model of nonlinearly perturbed renewal equation with polynomial perturbations which is well studied in the literature.  The goal of the present study is to obtain the exponential asymptotics for the solution to the perturbed renewal equation in the form of exponential asymptotic expansions and present possible applications.

The thesis is based on three papers which study successively the model stated above. Paper A investigates the two-dimensional case, i.e. where $k=2$. The corresponding asymptotic exponential expansion for the solution to the perturbed renewal equation is given. The asymptotic results are applied to an example of the perturbed risk process, which leads to diffusion approximation type asymptotics for the ruin probability.  Numerical experimental studies on this example of perturbed risk process are conducted in paper B, where Monte Carlo simulation are used to study the accuracy and properties of the asymptotic formulas. Paper C presents the asymptotic results for the more general case where the dimension $k$ satisfies $1\leq k <\infty$, which are applied to the asymptotic analysis of the ruin probability in an example of perturbed risk processes with this general type of non-polynomial perturbations.  All the proofs of the theorems stated in paper C are collected in its supplement: paper D.

Place, publisher, year, edition, pages
Västerås: Mälardalen University, 2010. p. 98
Series
Mälardalen University Press Licentiate Theses, ISSN 1651-9256 ; 116
Keywords
Renewal equation, perturbed renewal equation, non-polynomial perturbation, exponential asymptotic expansion, risk process, ruin probability
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-9354 (URN)978-91-86135-58-4 (ISBN)
Presentation
2010-05-07, Kappa, Hus U, Högskoleplan 1, Mälardalen University, 13:15 (English)
Opponent
Supervisors
Available from: 2010-03-04 Created: 2010-03-04 Last updated: 2015-06-29Bibliographically approved

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Ni, Ying

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CiteExportLink to record
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