Ruin probabilities
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| Autore principale: | |
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| Ente Autore: | |
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| Natura: | Elettronico eBook |
| Lingua: | inglese |
| Pubblicazione: |
Singapore ; Hackensack, N.J. :
World Scientific,
c2010.
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| Edizione: | 2nd ed. |
| Serie: | Advanced series on statistical science & applied probability ;
v. 14. |
| Soggetti: | |
| Accesso online: | An electronic book accessible through the World Wide Web; click to view |
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Sommario:
- 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.