Hubungan Antara Brownian Motion (The Winner Process) dan Surplus Process

Abstract

HUBUNGAN ANTARA BROWNIAN MOTION (THE WIENER PROCESS) DAN SURPLUS PROCESS

ABSTRAK

Suatu analisis model continous-time menjadi cakupan yang akan dibahas dalam tulisan ini. Dengan demikian pengenalan proses stochastic akan sangat berperan. Dua proses akan di analisis yaitu proses compound Poisson dan Brownian motion. Proses compound Poisson sudah menjadi model standard untuk Ruin analysis dalam ilmu aktuaria. Sementara Brownian motion sangat berguna dalam teori keuangan modern dan juga dapat digunakan sebagai approksimasi untuk proses compound Poisson. Hal penting dalam tulisan ini adalah menujukkan bagaimana surplus process berdasarkan proses resiko compound Poisson dihubungkan dengan Brownian motion with Drift Process.

Kata kunci: Brownian motion with Drift process, proses surplus, compound Poisson

 

RELATIONSHIP  BETWEEN  BROWNIAN MOTION (THE WIENER PROCESS) AND THE SURPLUS PROCESS

ABSTRACT

An analysis of continous-time models is covered in this paper. Thus, this requires an introduction to stochastic processes. Two processes are analyzed: the compound Poisson process and Brownian motion. The compound Poisson process has been the standard model for ruin analysis in actuarial science, while Brownian motion has found considerable use in modern financial theory and also can be used as an approximation to the compound Pisson process. The important thing is to show how the surplus process based on compound poisson risk process is related to Brownian motion with drift process.

Keywords: Brownian motion with drift process, surplus process, compound Poisson