Ruin probabilities
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| Autor principal: | |
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| Autor Corporativo: | |
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| Formato: | Recurso Eletrônico livro eletrônico |
| Idioma: | inglês |
| Publicado em: |
Singapore ; Hackensack, N.J. :
World Scientific,
c2010.
|
| Edição: | 2nd ed. |
| coleção: | Advanced series on statistical science & applied probability ;
v. 14. |
| Assuntos: | |
| Acesso em linha: | An electronic book accessible through the World Wide Web; click to view |
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Sumário:
- 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.