Poissonov proces i subordinatori

Martinić, Miko (2015) Poissonov proces i subordinatori. Diploma thesis, Faculty of Science > Department of Mathematics.

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Abstract

The main goal of this thesis is to define and present basics examples and application of subordinators. In order to describe the theory of subordinators, theory of Lévy processes and Poisson random measures are discussed first. We introduce Poisson random measure in order to present subordinator as a process that correspond essentially to compound Poisson process with linear drift. We describe characteristics of the range of subordinator and show asymptotic behaviour of its paths using Dynkin-Lamperti theorem. In the last chapter, to present applications, we define ruin probability and usage of subordinator in insurance by describing compound Poisson model (known as Crámer-Lundberg model in actuarial contest).

Item Type: Thesis (Diploma thesis)
Supervisor: Basrak, Bojan
Date: 2015
Number of Pages: 29
Subjects: NATURAL SCIENCES > Mathematics
Divisions: Faculty of Science > Department of Mathematics
Depositing User: Iva Prah
Date Deposited: 22 Oct 2015 12:22
Last Modified: 22 Oct 2015 12:22
URI: http://digre.pmf.unizg.hr/id/eprint/4298

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