Horobets A. Decisions making in the reinsurance models of the insurers

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0405U001217

Thesis Registration Form

0405U001217.pdf

Applicant for

Specialization

  • 01.05.04 - Системний аналіз і теорія оптимальних рішень

13-03-2005

Specialized Academic Board

Д 26.001.35.

Essay

Thesis is dedicated to the construction and the investigation of the mathematical reinsurance models of optimal management of the insurer. The classical reinsurance model using functions of utility is generalized in the case of any quantity of companies and the criterion of effectiveness of the solutions is proven. The activity of insurance companies in the unstable economy is investigated, where the instability is described by semimarkovian process. The models of the behavior of the Cramer-Lundberg coefficient under the reinsurance are developed. Theorems, which show the changes of the asymptotic behavior of the ruin probability in the dependence on the reinsurance rate, are proven. The obtained results are used in the work of the insurance companies "Skaid-West" and "Skarbnitsa".

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Files

AREF-aref01.doc

AREF-aref02.doc

Disertacia-dis01.doc

Disertacia-dis02.doc

Disertacia-dis03.doc

Disertacia-dis04.doc

Disertacia-dis05.doc

Disertacia-dis06.doc

Disertacia-dis07.doc

Disertacia-dis08.doc

Disertacia-dis09.doc

Disertacia-dis10.doc

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