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Bibliographic Details
Main Author:	Asmussen, Søren 1946- (Author)
Format:	Electronic eBook
Language:	English
Published:	Singapore World Scientific © 2010
Edition:	2nd ed
Series:	Advanced series on statistical science & applied probability v. 14
Subjects:	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
Online Access:	FAW01 FAW02 FLA01 Volltext
Item Description:	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
Physical Description:	1 Online-Ressource (xvii, 602 pages)
ISBN:	9789814282529 9789814282536 9814282529 9814282537

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Record in the Search Index

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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

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