Stochastic models in risk theory and management accounting

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.