Stochastic models in risk theory and management accounting

Research output: ThesisDoctoral ThesisScientific

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Abstract

This thesis deals with stochastic models in two fields: risk theory and management accounting. Firstly, two extensions of the classical risk process are analyzed. A method is developed that computes bounds of the probability of ruin for the classical risk rocess extended with a constant interest force. The other extension deals with the insurer's strategy with respect to maintaining the current premium system when the insurer does not have complete knowledge about the distribution of the risk process. Seco ly, in the field of management accounting the production and capacity planning in a multi-period model is discussed. Also the problem of setting budget targets to the subdivisions of a company is analyzed.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • De Waegenaere, Anja, Co-promotor
  • van der Duyn Schouten, F.A., Promotor
Award date19 Jun 2000
Place of PublicationTilburg
Publisher
Print ISBNs9056680684
Publication statusPublished - 2000

Fingerprint

Management accounting
Risk process
Risk management
Insurer
Risk theory
Stochastic model
Production planning
Capacity planning
Probability of ruin
Premium

Cite this

Brekelmans, R. C. M. (2000). Stochastic models in risk theory and management accounting. Tilburg: CentER, Center for Economic Research.
Brekelmans, R.C.M.. / Stochastic models in risk theory and management accounting. Tilburg : CentER, Center for Economic Research, 2000. 117 p.
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abstract = "This thesis deals with stochastic models in two fields: risk theory and management accounting. Firstly, two extensions of the classical risk process are analyzed. A method is developed that computes bounds of the probability of ruin for the classical risk rocess extended with a constant interest force. The other extension deals with the insurer's strategy with respect to maintaining the current premium system when the insurer does not have complete knowledge about the distribution of the risk process. Seco ly, in the field of management accounting the production and capacity planning in a multi-period model is discussed. Also the problem of setting budget targets to the subdivisions of a company is analyzed.",
author = "R.C.M. Brekelmans",
year = "2000",
language = "English",
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series = "CentER Dissertation Series",
publisher = "CentER, Center for Economic Research",
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}

Brekelmans, RCM 2000, 'Stochastic models in risk theory and management accounting', Doctor of Philosophy, Tilburg University, Tilburg.

Stochastic models in risk theory and management accounting. / Brekelmans, R.C.M.

Tilburg : CentER, Center for Economic Research, 2000. 117 p.

Research output: ThesisDoctoral ThesisScientific

TY - THES

T1 - Stochastic models in risk theory and management accounting

AU - Brekelmans, R.C.M.

PY - 2000

Y1 - 2000

N2 - This thesis deals with stochastic models in two fields: risk theory and management accounting. Firstly, two extensions of the classical risk process are analyzed. A method is developed that computes bounds of the probability of ruin for the classical risk rocess extended with a constant interest force. The other extension deals with the insurer's strategy with respect to maintaining the current premium system when the insurer does not have complete knowledge about the distribution of the risk process. Seco ly, in the field of management accounting the production and capacity planning in a multi-period model is discussed. Also the problem of setting budget targets to the subdivisions of a company is analyzed.

AB - This thesis deals with stochastic models in two fields: risk theory and management accounting. Firstly, two extensions of the classical risk process are analyzed. A method is developed that computes bounds of the probability of ruin for the classical risk rocess extended with a constant interest force. The other extension deals with the insurer's strategy with respect to maintaining the current premium system when the insurer does not have complete knowledge about the distribution of the risk process. Seco ly, in the field of management accounting the production and capacity planning in a multi-period model is discussed. Also the problem of setting budget targets to the subdivisions of a company is analyzed.

M3 - Doctoral Thesis

SN - 9056680684

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Brekelmans RCM. Stochastic models in risk theory and management accounting. Tilburg: CentER, Center for Economic Research, 2000. 117 p. (CentER Dissertation Series).