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統計数学セミナー
過去の記録 ～04/19｜次回の予定｜今後の予定 04/20～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2012年10月19日(金)
14:50-16:00 数理科学研究科棟(駒場) 006号室
参加をご希望される方は鎌谷 (阪大基礎工); kamatani at sigmath.es.osaka-u.ac.jpまでご連絡ください.
清水 泰隆 氏 (大阪大学大学院基礎工学研究科)
Asymptotic expansion of ruin probability under Lévy insurance risks (JAPANESE)
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/09.html
参加をご希望される方は鎌谷 (阪大基礎工); kamatani at sigmath.es.osaka-u.ac.jpまでご連絡ください.
清水 泰隆 氏 (大阪大学大学院基礎工学研究科)
Asymptotic expansion of ruin probability under Lévy insurance risks (JAPANESE)
[ 講演概要 ]
An asymptotic expansion formula of the ultimate ruin probability under L\\'evy insurance risks
is given as the loading factor tends to zero. The formula is obtained via the Edgeworth type expansion of
the compound geometric random sum. We give higher-order expansions of the ruin probability with a certain validity.
This allows us to evaluate quantile of the ruin function, which is nicely applied to estimate the VaR-type risk measure due to ruin.
[ 参考URL ]An asymptotic expansion formula of the ultimate ruin probability under L\\'evy insurance risks
is given as the loading factor tends to zero. The formula is obtained via the Edgeworth type expansion of
the compound geometric random sum. We give higher-order expansions of the ruin probability with a certain validity.
This allows us to evaluate quantile of the ruin function, which is nicely applied to estimate the VaR-type risk measure due to ruin.
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/09.html
