Ruin probabilities

著者

書誌事項

Ruin probabilities

Søren Asmussen, Hansjörg Albrecher

(Advanced series on statistical science & applied probability, v. 14)

World Scientific, c2010

2nd ed

  • : hardcover

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注記

First ed., by Søren Asmussen, published in 2000

Includes bibliographical references (p. 549-596) and index

内容説明・目次

内容説明

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.

目次

  • Introduction
  • Some General Tools and Results
  • The Compound Poisson Model
  • The Probability of Ruin within Finite Time
  • Renewal Arrivals
  • Risk Theory in a Markovian Environment
  • Premiums Depending on the Current Reserve
  • Matrix-Analytic Methods
  • Ruin Probabilities in the Presence of Heavy Tails
  • Simulation Methodology
  • Miscellaneous Topics
  • Stochastic Control
  • Gerber-Shiu Functions
  • Recent Developments in Monte Carlo Methods
  • Recent Developments in Fluctuation Theory for Levy Processes
  • Payment of Dividends
  • Tail Estimation
  • Dependent Risks
  • Level-Dependent Risk Processes.

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詳細情報

  • NII書誌ID(NCID)
    BB03376874
  • ISBN
    • 9789814282529
  • LCCN
    2010023280
  • 出版国コード
    us
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    New Jersey
  • ページ数/冊数
    xvii, 602 p.
  • 大きさ
    24 cm
  • 分類
  • 件名
  • 親書誌ID
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