discipline

MSC in Mathematics, Specializations

subject

Risk Processes

lecturers

György Michaletzky. prof., Dept. of Probability Theory and Statistics, Institute of Mathematics

credits

2

period

 

curriculum

Risk process, total risk process.

Special cases: compund Poisson process. Markov process, renewal process.

Approximation of the distribution of risk process.

Ruin theory. Probability of ruin for compound Poisson process (finite and infinite time horizon.) Lundberg-theorem (Cramer-Lundberg approximation).

Asymptotics of risk probability. Exponential and sub-exponential case.

Application of martingales. Renewal risk processes.

literature

 

form of tuition

Lectures

mode of assessment

oral exam