Ruin probabilities [electronic resource] / Sren Asmussen, Hansjorg Albrecher.

By: Asmussen, SrenContributor(s): Albrecher, Hansjorg | ProQuest (Firm)Material type: TextTextSeries: Advanced series on statistical science & applied probability ; v. 14.Publication details: Singapore ; Hackensack, N.J. : World Scientific, c2010Edition: 2nd edDescription: xvii, 602 p. : illISBN: 9789814282536 (electronic bk.)Subject(s): Insurance -- Mathematics | RiskGenre/Form: Electronic books.DDC classification: 368/.01 LOC classification: HG8781 | .A83 2010Online resources: Click to View
Contents:
Introduction -- Martingales and simple ruin calculations -- Further general tools and results -- The compound Poisson model -- The probability of ruin within finite time -- Renewal arrivals -- Risk theory in a Markovian environment -- Level-dependent risk processes -- Matrix-analytic methods -- Ruin probabilities in the presence of heavy tails -- Ruin probabilities for Levy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics.
Tags from this library: No tags from this library for this title. Log in to add tags.
Star ratings
    Average rating: 0.0 (0 votes)
No physical items for this record

Includes bibliographical references and index.

Introduction -- Martingales and simple ruin calculations -- Further general tools and results -- The compound Poisson model -- The probability of ruin within finite time -- Renewal arrivals -- Risk theory in a Markovian environment -- Level-dependent risk processes -- Matrix-analytic methods -- Ruin probabilities in the presence of heavy tails -- Ruin probabilities for Levy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics.

Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.

There are no comments on this title.

to post a comment.