Bratyk M. Exact formulae, probability estimates and functional limit theorems applied to financial investments into risky assets.

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0412U000170

Thesis Registration Form

0412U000170.pdf

Applicant for

Specialization

  • 01.01.05 - Теорія ймовірностей і математична статистика

23-01-2012

Specialized Academic Board

Д 26.001.37

Taras Shevchenko National University of Kyiv

Essay

Thesis is devoted to the investigation of investment strategies and ruin probabilities for some models of insurance companies that invest their capital into the risky asset on financial market. Ruin probability estimates and investment strategies for binomial model as well as for Cramer-Lundberg model in the case of possibility to invest its capital into one or into a finite number of stocks are obtained. Convergence of maximal success probability is proved in the problem of quantile hedging.

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Files

aref.doc

dis.pdf

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