The analysis of an impact of outside factors on the ruin probability in a multiclasses risk mode

Aleksandra Iwanicka

Abstract

The main aim of this work is to numerically analyze an impact of outside factors on the ruin probability in some multiclasses risk models. The work consists of the introduction, four chapters, the ending and three appendixes. In the first chapter basic classical risk theory is discussed. The second chapter is devoted to a theoretical study of multiclasses risk models which include an influence of outside risk factors. The models known form the literature become generalized by taking into account the possible dependence between claims caused by outside factors. The models are divided into the multiclasses aggregated risk models and the multidimensional risk models. This part of the dissertation presents aslo that under the classical assumption of the counting processes the multiclasses aggregated risk model can be transformed to the classical risk model. The third chapter and the fourth chapter are devoted to the analysis of the impact of the outside risk factors on the ruin probability: in the third chapter – in some three-classes aggregated risk model and in the fourth chapter – in some twodimensional risk model. The analysis is split into two parts: the analysis of the impact of the frequency of the outside factors influence and the analysis of the impact of the degree of the claims dependence caused by the outside factors