| Title | Exact expressions of survival probabilities of homogeneous discrete-time risk model and vandermonde matrices / |
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| Translation of Title | Tikslios homogeninio diskretaus laiko rizikos modelio išgyvenamumo tikimybės išraiškos ir Vandermonde matricos. |
| Authors | Reinatas, Paulius |
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| Pages | 31 |
| Keywords [eng] | homogeninis diskretaus laiko rizikos modelis, bankroto tikimybė, išgyvenimo tikimybė, rekursinis skaičiavimas, atsitiktinis kintamasis, pasiskirstymo funkcija, matrica, lygčių sistemos. homogeneous discrete-time risk model, ruin probability, survival probability, recursive calculation, random variable, probability generating function, matrix, equation systems. |
| Abstract [eng] | This master's thesis reviews application of ultimate time survival probability 𝜑(u) generating function for a homogeneous discrete time risk model. The model itself is presented with main definitions and survival probabilities. Theorems required for algorithms of probabilities calculations are formulated and proved. In presented examples, with the help of Wolfram Mathematica expressions and numerical values of survival probabilities are found with different claim amount distributions and cases when roots inside unit circle are multiple. |
| Dissertation Institution | Vilniaus universitetas. |
| Type | Master thesis |
| Language | English |
| Publication date | 2023 |