Ruin probabilities [[electronic resource] /] / Søren Asmussen, Hansjörg Albrecher

• Autore: Asmussen Søren
• Pubblicazione: Singapore ; ; Hackensack, N.J., : World Scientific, c2010
• Edizione: 2nd ed.
• Descrizione fisica: 1 online resource (500 p.)
• Disciplina: 368/.01
• Soggetto topico: Insurance - Mathematics; Risk
• Soggetto genere / forma: Electronic books.
• Altri autori: AlbrecherHansjörg
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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.
• Sommario/riassunto: 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 substantia
• Titolo autorizzato: Ruin probabilities
• ISBN: 1-283-14383-6; 9786613143839; 981-4282-53-7
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910463953003321
• Lo trovi qui: Univ. Federico II
• Serie: Advanced series on statistical science & applied probability ; ; v. 14.