Ruin probabilities:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific
© 2010
|
| Ausgabe: | 2nd ed |
| Schriftenreihe: | Advanced series on statistical science & applied probability
v. 14 |
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 FLA01 Volltext |
| Beschreibung: | 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 Lévy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber-Shiu functions and dependence |
| Beschreibung: | 1 Online-Ressource (xvii, 602 pages) |
| ISBN: | 9789814282529 9789814282536 9814282529 9814282537 |
Internformat
MARC
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| 490 | 0 | |a Advanced series on statistical science & applied probability |v v. 14 | |
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a 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 Lévy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics | ||
| 500 | |a The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber-Shiu functions and dependence | ||
| 650 | 4 | |a Risk (Insurance) / Mathematical models | |
| 650 | 4 | |a Social Science | |
| 650 | 4 | |a Business | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management |2 bisacsh | |
| 650 | 7 | |a Insurance / Mathematics |2 fast | |
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Datensatz im Suchindex
| _version_ | 1804175600779264000 |
|---|---|
| any_adam_object | |
| author | Asmussen, Søren 1946- |
| author_GND | (DE-588)170289907 (DE-588)138015244 |
| author_facet | Asmussen, Søren 1946- |
| author_role | aut |
| author_sort | Asmussen, Søren 1946- |
| author_variant | s a sa |
| building | Verbundindex |
| bvnumber | BV043146247 |
| collection | ZDB-4-EBA |
| ctrlnum | (OCoLC)740444825 (DE-599)BVBBV043146247 |
| dewey-full | 368/.01 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 368 - Insurance |
| dewey-raw | 368/.01 |
| dewey-search | 368/.01 |
| dewey-sort | 3368 11 |
| dewey-tens | 360 - Social problems and services; associations |
| discipline | Wirtschaftswissenschaften |
| edition | 2nd ed |
| format | Electronic eBook |
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| id | DE-604.BV043146247 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:18:52Z |
| institution | BVB |
| isbn | 9789814282529 9789814282536 9814282529 9814282537 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028570438 |
| oclc_num | 740444825 |
| open_access_boolean | |
| owner | DE-1046 DE-1047 DE-860 |
| owner_facet | DE-1046 DE-1047 DE-860 |
| physical | 1 Online-Ressource (xvii, 602 pages) |
| psigel | ZDB-4-EBA ZDB-4-EBA FAW_PDA_EBA ZDB-4-EBA FLA_PDA_EBU |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | World Scientific |
| record_format | marc |
| series2 | Advanced series on statistical science & applied probability |
| spelling | Asmussen, Søren 1946- Verfasser (DE-588)170289907 aut Ruin probabilities Søren Asmussen, Hansjörg Albrecher 2nd ed Singapore World Scientific © 2010 1 Online-Ressource (xvii, 602 pages) txt rdacontent c rdamedia cr rdacarrier Advanced series on statistical science & applied probability v. 14 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 Lévy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber-Shiu functions and dependence Risk (Insurance) / Mathematical models Social Science Business BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Insurance / Mathematics fast Risk fast Mathematik Mathematisches Modell Wirtschaft Insurance Mathematics Risk Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Versicherungswirtschaft (DE-588)4063206-4 gnd rswk-swf Risikotheorie (DE-588)4135592-1 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 s Risikotheorie (DE-588)4135592-1 s Statistik (DE-588)4056995-0 s 1\p DE-604 Stochastischer Prozess (DE-588)4057630-9 s Finanzwirtschaft (DE-588)4017214-4 s 2\p DE-604 Finanzmathematik (DE-588)4017195-4 s 3\p DE-604 Versicherungswirtschaft (DE-588)4063206-4 s 4\p DE-604 5\p DE-604 Albrecher, Hansjörg 1974- Sonstige (DE-588)138015244 oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=374872 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 5\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Asmussen, Søren 1946- Ruin probabilities Risk (Insurance) / Mathematical models Social Science Business BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Insurance / Mathematics fast Risk fast Mathematik Mathematisches Modell Wirtschaft Insurance Mathematics Risk Finanzmathematik (DE-588)4017195-4 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Statistik (DE-588)4056995-0 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Versicherungswirtschaft (DE-588)4063206-4 gnd Risikotheorie (DE-588)4135592-1 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4063194-1 (DE-588)4017214-4 (DE-588)4056995-0 (DE-588)4057630-9 (DE-588)4063206-4 (DE-588)4135592-1 |
| title | Ruin probabilities |
| title_auth | Ruin probabilities |
| title_exact_search | Ruin probabilities |
| title_full | Ruin probabilities Søren Asmussen, Hansjörg Albrecher |
| title_fullStr | Ruin probabilities Søren Asmussen, Hansjörg Albrecher |
| title_full_unstemmed | Ruin probabilities Søren Asmussen, Hansjörg Albrecher |
| title_short | Ruin probabilities |
| title_sort | ruin probabilities |
| topic | Risk (Insurance) / Mathematical models Social Science Business BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Insurance / Mathematics fast Risk fast Mathematik Mathematisches Modell Wirtschaft Insurance Mathematics Risk Finanzmathematik (DE-588)4017195-4 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Statistik (DE-588)4056995-0 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Versicherungswirtschaft (DE-588)4063206-4 gnd Risikotheorie (DE-588)4135592-1 gnd |
| topic_facet | Risk (Insurance) / Mathematical models Social Science Business BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management Insurance / Mathematics Risk Mathematik Mathematisches Modell Wirtschaft Insurance Mathematics Finanzmathematik Versicherungsmathematik Finanzwirtschaft Statistik Stochastischer Prozess Versicherungswirtschaft Risikotheorie |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=374872 |
| work_keys_str_mv | AT asmussensøren ruinprobabilities AT albrecherhansjorg ruinprobabilities |