Fluctuations of Lévy Processes with Applications [[electronic resource] ] : Introductory Lectures / / by Andreas E. Kyprianou |
Autore | Kyprianou Andreas E |
Edizione | [2nd ed. 2014.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2014 |
Descrizione fisica | 1 online resource (461 p.) |
Disciplina | 519.282 |
Collana | Universitext |
Soggetto topico |
Probabilities
Economics, Mathematical Probability Theory and Stochastic Processes Quantitative Finance |
ISBN | 3-642-37632-0 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Lévy Processes and Applications -- The Lévy–Itô Decomposition and Path Structure -- More Distributional and Path-Related Properties -- General Storage Models and Paths of Bounded Variation -- Subordinators at First Passage and Renewal Measures -- The Wiener–Hopf Factorisation -- Lévy Processes at First Passage -- Exit Problems for Spectrally Negative Processes -- More on Scale Functions -- Ruin Problems and Gerber-Shiu Theory -- Applications to Optimal Stopping Problems -- Continuous-State Branching Processes -- Positive Self-similar Markov Processes -- Epilogue -- Hints for Exercises -- References -- Index. |
Record Nr. | UNINA-9910300156403321 |
Kyprianou Andreas E | ||
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2014 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
|
Gerber–Shiu Risk Theory / / by Andreas E. Kyprianou |
Autore | Kyprianou Andreas E |
Edizione | [1st ed. 2013.] |
Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2013 |
Descrizione fisica | 1 online resource (95 p.) |
Disciplina | 368.00151118 |
Collana | EAA Series |
Soggetto topico |
Probabilities
Actuarial science Probability Theory and Stochastic Processes Actuarial Sciences |
ISBN | 3-319-02303-9 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Introduction -- The Wald martingale and the maximum -- The Kella-Whitt martingale and the minimum -- Scale functions and ruin probabilities -- The Gerber–Shiu measure -- Reflection strategies -- Perturbation-at-maximum strategies -- Refraction strategies -- Concluding discussion -- References. |
Record Nr. | UNINA-9910739409703321 |
Kyprianou Andreas E | ||
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2013 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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