Studies On Simulating Ruin Probability Of Insurance Models With Investments

In this dissertation we investigate ruin probability of insurance models with risk investments strategies.This paper's risk reserve process is an extension of the classical Cramer-Lundberg model with risk investments.The paper applies implicit renewal-theoretic methods and exponential martingale methods to find out ruin probabilities and compares them with the bound simulated to show their differences.This dissertation consists of four chapters. As follows are main con-tents.In chapter one we give a preface. In this chapter on the one hand we intro-duce the development and significance of the risk theory at home and abroad, on the other hand we give the background and purpose of our research. Besides, some contents about classical risk theory are given.In chapter two the paper introduce implicit renewal theory and apply it for ruin probability of insurance models.In chapter three the paper introduce exponential martingale methods and apply it for ruin probability of insurance models.The results show that the explicit expression of the bound is not found.In chapter four the paper applies R-project and simulation methods to esti-mate their ruin probabilities and compares them with the bound above in chap-ter two and three and investigates their differences. Our results show that upper bounds of ruin probability by using implicit renewal-theoretic methods are a bit bigger than those deduced by simulation.