Show simple item record

dc.contributor.authorKim, Sung Soo 13:54:46 (GMT) 13:54:46 (GMT)
dc.description.abstractThe introduction of matrix analytic methods in risk theory has marked a significant progress in computations in risk theory. Matrix analytic methods have proven to be powerful computational tools for numerically analyzing complex risk models that traditional methods often had difficulty with. This is particularly noteworthy in the modern age of advanced computing and big data. Moving away from the traditional view of collective risk theory, we can now consider risk models that comprise of many stochastic processes of which data are abundant. These models may fall under the existing class of risk models; however, these more realistic risk models involve a large number of variables which increases the computational complexity significantly. Matrix analytic methods can provide reliable computing algorithms for risk models of such computational complexity, which have not been numerically feasible to analyze with the traditional computational tools in risk theory. This thesis is dedicated to improving the accessibility of the matrix analytic methodology in risk theory and developing further generalizations of the existing matrix analytic methods in risk theory in the attempt to promote its computational use. Although the literature of matrix analytic methods in risk theory is in its early stage, it is believed that the advancement in computations in risk theory brought by the matrix analytic methods will broaden the spectrum of problems in the risk theory literature in the direction of more realistic and practical risk models and computational analyses of these models. This will make risk theory as a whole more appealing to practitioners and those who are looking for more advanced actuarial risk management tools.en
dc.publisherUniversity of Waterlooen
dc.subjectrisk theoryen
dc.subjectmatrix analytic methodsen
dc.subjectapplied probabilityen
dc.subjectcomputations in risk theoryen
dc.subjectinsurance theoryen
dc.subjectinsurance surplus analysisen
dc.subjectcomputational probability theoryen
dc.titleMatrix analytic methods for computations in risk theoryen
dc.typeDoctoral Thesisen
dc.pendingfalse and Actuarial Scienceen Scienceen of Waterlooen
uws-etd.degreeDoctor of Philosophyen
uws.contributor.advisorDrekic, Steve
uws.contributor.affiliation1Faculty of Mathematicsen

Files in this item


This item appears in the following Collection(s)

Show simple item record


University of Waterloo Library
200 University Avenue West
Waterloo, Ontario, Canada N2L 3G1
519 888 4883

All items in UWSpace are protected by copyright, with all rights reserved.

DSpace software

Service outages