| Edition |
2nd ed. |
| Description |
1 online resource (xvii, 602 pages) : illustrations. |
| Physical Medium |
polychrome |
| Description |
text file |
| Series |
Advanced series on statistical science & applied probability ; v. 14
|
|
Advanced series on statistical science & applied probability ; v. 14.
|
| Bibliography |
Includes bibliographical references and index. |
| 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. |
| Summary |
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. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Insurance -- Mathematics.
|
|
Insurance -- Mathematics. |
|
Risk.
|
|
Risk. |
| Genre/Form |
Electronic books.
|
| Added Author |
Albrecher, Hansjörg.
|
| Other Form: |
Print version: Asmussen, Søren. Ruin probabilities. 2nd ed. Singapore ; Hackensack, NJ : World Scientific, ©2010 9789814282529 (DLC) 2010023280 (OCoLC)401145782 |
| ISBN |
9789814282536 (electronic book) |
|
9814282537 (electronic book) |
|
9789814282529 |
|
9814282529 |
|
