Ruin probabilities:
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 probabiliti...
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Singapore
World Scientific Pub. Co.
c2010
|
Ausgabe: | 2nd ed |
Schriftenreihe: | Advanced series on statistical science & applied probability
v. 14 |
Schlagworte: | |
Online-Zugang: | FHN01 URL des Erstveroeffentlichers |
Zusammenfassung: | 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: | xvii, 602 p. ill |
ISBN: | 9789814282536 |
Internformat
MARC
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490 | 0 | |a Advanced series on statistical science & applied probability |v v. 14 | |
520 | |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 | ||
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Datensatz im Suchindex
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---|---|
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 | BV044637839 |
classification_rvk | QH 170 QQ 600 SK 800 SK 950 SK 980 |
collection | ZDB-124-WOP |
ctrlnum | (ZDB-124-WOP)00001154 (OCoLC)1005227959 (DE-599)BVBBV044637839 |
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 | Mathematik Wirtschaftswissenschaften |
edition | 2nd ed |
format | Electronic eBook |
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id | DE-604.BV044637839 |
illustrated | Not Illustrated |
indexdate | 2024-07-10T07:57:52Z |
institution | BVB |
isbn | 9789814282536 |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030035812 |
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owner | DE-92 |
owner_facet | DE-92 |
physical | xvii, 602 p. ill |
psigel | ZDB-124-WOP ZDB-124-WOP FHN_PDA_WOP |
publishDate | 2010 |
publishDateSearch | 2010 |
publishDateSort | 2010 |
publisher | World Scientific Pub. Co. |
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series2 | Advanced series on statistical science & applied probability |
spelling | Asmussen, Søren 1946- Verfasser (DE-588)170289907 aut Ruin probabilities Soren Asmussen, Hansjorg Albrecher 2nd ed Singapore World Scientific Pub. Co. c2010 xvii, 602 p. ill txt rdacontent c rdamedia cr rdacarrier Advanced series on statistical science & applied probability v. 14 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 Insurance / Mathematics Risk Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Versicherungswirtschaft (DE-588)4063206-4 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Risikotheorie (DE-588)4135592-1 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 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 Erscheint auch als Druck-Ausgabe 9789814282529 Erscheint auch als Druck-Ausgabe 9814282529 http://www.worldscientific.com/worldscibooks/10.1142/7431#t=toc Verlag URL des Erstveroeffentlichers 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 Insurance / Mathematics Risk Finanzmathematik (DE-588)4017195-4 gnd Statistik (DE-588)4056995-0 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Versicherungswirtschaft (DE-588)4063206-4 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Risikotheorie (DE-588)4135592-1 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
subject_GND | (DE-588)4017195-4 (DE-588)4056995-0 (DE-588)4063194-1 (DE-588)4063206-4 (DE-588)4057630-9 (DE-588)4135592-1 (DE-588)4017214-4 |
title | Ruin probabilities |
title_auth | Ruin probabilities |
title_exact_search | Ruin probabilities |
title_full | Ruin probabilities Soren Asmussen, Hansjorg Albrecher |
title_fullStr | Ruin probabilities Soren Asmussen, Hansjorg Albrecher |
title_full_unstemmed | Ruin probabilities Soren Asmussen, Hansjorg Albrecher |
title_short | Ruin probabilities |
title_sort | ruin probabilities |
topic | Insurance / Mathematics Risk Finanzmathematik (DE-588)4017195-4 gnd Statistik (DE-588)4056995-0 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Versicherungswirtschaft (DE-588)4063206-4 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Risikotheorie (DE-588)4135592-1 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
topic_facet | Insurance / Mathematics Risk Finanzmathematik Statistik Versicherungsmathematik Versicherungswirtschaft Stochastischer Prozess Risikotheorie Finanzwirtschaft |
url | http://www.worldscientific.com/worldscibooks/10.1142/7431#t=toc |
work_keys_str_mv | AT asmussensøren ruinprobabilities AT albrecherhansjorg ruinprobabilities |