Ruin probabilities

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Bibliografski detalji
Glavni autor: Asmussen, Søren
Autor kompanije: ebrary, Inc
Daljnji autori: Albrecher, Hansjörg
Format: Elektronički e-knjiga
Jezik:engleski
Izdano: Singapore ; Hackensack, N.J. : World Scientific, c2010.
Izdanje:2nd ed.
Serija:Advanced series on statistical science & applied probability ; v. 14.
Teme:
Online pristup:An electronic book accessible through the World Wide Web; click to view
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Sadržaj:
  • 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.