Show simple item record

dc.contributor.authorFeng, Runhuan 15:54:18 (GMT) 15:54:18 (GMT)
dc.description.abstractAs ruin theory evolves in recent years, there has been a variety of quantities pertaining to an insurer's bankruptcy at the centre of focus in the literature. Despite the fact that these quantities are distinct from each other, it was brought to our attention that many solution methods apply to nearly all ruin-related quantities. Such a peculiar similarity among their solution methods inspired us to search for a general form that reconciles those seemingly different ruin-related quantities. The stochastic approach proposed in the thesis addresses such issues and contributes to the current literature in three major directions. (1) It provides a new function that unifies many existing ruin-related quantities and that produces more new quantities of potential use in both practice and academia. (2) It applies generally to a vast majority of risk processes and permits the consideration of combined effects of investment strategies, policy modifications, etc, which were either impossible or difficult tasks using traditional approaches. (3) It gives a shortcut to the derivation of intermediate solution equations. In addition to the efficiency, the new approach also leads to a standardized procedure to cope with various situations. The thesis covers a wide range of ruin-related and financial topics while developing the unifying stochastic approach. Not only does it attempt to provide insights into the unification of quantities in ruin theory, the thesis also seeks to extend its applications in other related areas.en
dc.publisherUniversity of Waterlooen
dc.subjectruin theoryen
dc.subjectdiscounted penalty functionen
dc.subjectgeneralized Gerber-Shiu functionen
dc.subjectPiecewise-deterministic Markov processen
dc.subjectSparre Andersen modelen
dc.subjectJump diffusion processen
dc.subjecttotal dividends paid up to ruinen
dc.subjectinfinitesimal generatoren
dc.titleA Generalization of the Discounted Penalty Function in Ruin Theoryen
dc.typeDoctoral Thesisen
dc.subject.programActuarial Scienceen and Actuarial Scienceen
uws-etd.degreeDoctor of Philosophyen

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