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 threeclasses 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 factorsDiploma type  Doctor of Philosophy  
Author 
Aleksandra Iwanicka
Aleksandra Iwanicka
 
Title in English  The analysis of an impact of outside factors on the ruin probability in a multiclasses risk mode  
Language  pl polski  
Certifying Unit  Faculty of Management, Information Systems and Finance (MISaF)  
Discipline  nauki o zarządzaniu / nauki ekonomiczne(nauki ekonomiczne) / nauki społeczne()  
Defense Date  25092013  
End date  26092013  
Supervisor 
Stanisław Heilpern (MISaF / IZM / KS)
Stanisław Heilpern
 
Internal reviewers 
Janusz Łyko (MISaF / IZM / KMiC)
Janusz Łyko
 
External reviewers 
Marian Matłoka
Marian Matłoka
 
Pages  113  
Keywords in English  multiclasses risk model, ruin probability, outside factors  
Abstract in English  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 threeclasses 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  
KBN classification  ekonomia  
Thesis file 

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