Risk Process with Random Income

• Thesis title in Czech: Proces rizika s náhodným příjmem
• Thesis title in English: Risk Process with Random Income
• Academic year of topic announcement: 2004/2005
• Thesis type: diploma thesis
• Thesis language: angličtina
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: prof. Lev Klebanov, DrSc.
• Author: hidden - assigned and confirmed by the Study Dept.
• Date of registration: 28.06.2005
• Date of assignment: 28.06.2005
• Date and time of defence: 24.09.2007 00:00
• Date of electronic submission: 24.09.2007
• Date of proceeded defence: 24.09.2007
• Opponents: RNDr. Lucie Mazurová, Ph.D.

Guidelines

Student nastuduje literaturu o procesech rizika s náhodným příjmem a provede počítačovou simulací modelu. Plánované aktivity spočívají ve vyhodnocení statistických
odhadů parametrů modelu.

References

Kalashnikov V.V. Matyhematical Methods in the Ruin Probability Theory. Copenhagen, 1991.

Klebanov L.B., Maniya G.M., Melamed I.A. Analogs of Infinitely Divisible and Stable Distributions, Theory Probability Appl., 29, 499-521, 1984.

Bening V.E., Korolev V.Yu. Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes. Theory Probability Appl., 47, 1999.