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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| Weitere Verfasser: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; Hackensack, NJ :
World Scientific,
©2010.
|
| Ausgabe: | 2nd ed. |
| Schriftenreihe: | Advanced series on statistical science & applied probability ;
v. 14. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| 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: | 1 online resource (xvii, 602 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814282536 9814282537 |
Internformat
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| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |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. | |
| 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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| 700 | 1 | |a Albrecher, Hansjörg. | |
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| 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 Lévy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics. |
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| 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 | ZDB-4-EBU-ocn740444825 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:49:03Z |
| institution | BVB |
| isbn | 9789814282536 9814282537 |
| language | English |
| lccn | 2010023280 |
| oclc_num | 740444825 |
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| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xvii, 602 pages) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | World Scientific, |
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| series | Advanced series on statistical science & applied probability ; |
| series2 | Advanced series on statistical science & applied probability ; |
| spelling | Asmussen, Søren. Ruin probabilities / Søren Asmussen, Hansjörg Albrecher. 2nd ed. Singapore ; Hackensack, NJ : World Scientific, ©2010. 1 online resource (xvii, 602 pages) : illustrations text txt rdacontent computer c rdamedia online resource 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. Print version record. Insurance Mathematics. http://id.loc.gov/authorities/subjects/sh85066815 Risk. http://id.loc.gov/authorities/subjects/sh85114195 Risk https://id.nlm.nih.gov/mesh/D012306 Assurance Mathématiques. Risque. BUSINESS & ECONOMICS Insurance Risk Assessment & Management. bisacsh Insurance Mathematics fast Risk fast Albrecher, Hansjörg. Print version: Asmussen, Søren. Ruin probabilities. 2nd ed. Singapore ; Hackensack, NJ : World Scientific, ©2010 9789814282529 (DLC) 2010023280 (OCoLC)401145782 Advanced series on statistical science & applied probability ; v. 14. http://id.loc.gov/authorities/names/n97121977 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=374872 Volltext |
| spellingShingle | Asmussen, Søren Ruin probabilities / Advanced series on statistical science & applied probability ; 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. Insurance Mathematics. http://id.loc.gov/authorities/subjects/sh85066815 Risk. http://id.loc.gov/authorities/subjects/sh85114195 Risk https://id.nlm.nih.gov/mesh/D012306 Assurance Mathématiques. Risque. BUSINESS & ECONOMICS Insurance Risk Assessment & Management. bisacsh Insurance Mathematics fast Risk fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85066815 http://id.loc.gov/authorities/subjects/sh85114195 https://id.nlm.nih.gov/mesh/D012306 |
| 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 | Insurance Mathematics. http://id.loc.gov/authorities/subjects/sh85066815 Risk. http://id.loc.gov/authorities/subjects/sh85114195 Risk https://id.nlm.nih.gov/mesh/D012306 Assurance Mathématiques. Risque. BUSINESS & ECONOMICS Insurance Risk Assessment & Management. bisacsh Insurance Mathematics fast Risk fast |
| topic_facet | Insurance Mathematics. Risk. Risk Assurance Mathématiques. Risque. BUSINESS & ECONOMICS Insurance Risk Assessment & Management. Insurance Mathematics |
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