03020nam 2200637 a 450 991046395300332120200520144314.01-283-14383-69786613143839981-4282-53-7(CKB)3360000000001326(EBL)731122(OCoLC)740444825(SSID)ssj0000525460(PQKBManifestationID)12204653(PQKBTitleCode)TC0000525460(PQKBWorkID)10508477(PQKB)11344357(MiAaPQ)EBC731122(WSP)00007431(Au-PeEL)EBL731122(CaPaEBR)ebr10480047(CaONFJC)MIL314383(EXLCZ)99336000000000132620100619d2010 uy 0engur|n|---|||||txtccrRuin probabilities[electronic resource] /Søren Asmussen, Hansjörg Albrecher2nd ed.Singapore ;Hackensack, N.J. World Scientificc20101 online resource (500 p.)Advanced series on statistical science & applied probability ;v. 14Description based upon print version of record.981-4282-52-9 Includes bibliographical references and index.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.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 substantiaAdvanced series on statistical science & applied probability ;v. 14.InsuranceMathematicsRiskElectronic books.InsuranceMathematics.Risk.368/.01Asmussen Søren381160Albrecher Hansjörg611748MiAaPQMiAaPQMiAaPQBOOK9910463953003321Ruin probabilities1998134UNINA