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Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics
| Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics |
| Autore | Avram Florin |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 |
| Descrizione fisica | 1 online resource (218 p.) |
| Soggetto topico |
Mathematics and Science
Research and information: general |
| Soggetto non controllato |
adjustment coefficient
affine coefficients bankruptcy barrier strategies boundary-value problem capital injection constraint capital injections capital surplus process completely monotone distributions de Finetti valuation objective diffusion-type process dividend payment dividends drawdown drawdown process error bounds first crossing time first hitting time first passage fluctuation theory general tax structure heavy tails hyperexponential distribution hypergeometric functions joint Laplace transform Laguerre series Laplace transform Lévy processes linear diffusions log-convexity logarithmic asymptotics non-random overshoots normal reflection optimal control optimal dividends Padé approximations Parisian ruin Pollaczek-Khinchine formula potential measure quadratic programming problem reflected Brownian motion reflected Lévy processes reflection and absorption ruin probability running maximum and minimum processes scale function scale functions Segerdahl process skip-free random walks Sparre Andersen model spectrally negative Lévy process spectrally negative Lévy processes spectrally negative Markov process spectrally negative process stochastic control Tricomi-Weeks Laplace inversion two-dimensional Brownian motion variational problem |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557372503321 |
Avram Florin
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Risk, Ruin and Survival: Decision Making in Insurance and Finance
| Risk, Ruin and Survival: Decision Making in Insurance and Finance |
| Autore | Ren Jiandong |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 online resource (210 p.) |
| Soggetto non controllato |
advanced measurement approach
aggregate discounted claims aggregate risk archimedean copulas background risk central limit theorem clustering collective risk model concomitant confidence interval constant interest rate copula copulas covariance cumulative Parisian ruin discounted aggregate claims dual risk model financial time series hazard model individual risk model information processing insurance integral equation Laplace transform Markovian arrival process max-stable random fields maximal tail dependence Monte Carlo multiplicative background risk model multivariate gamma distribution n/a national culture numerical approximation operational risk order statistic partial integro-differential equation rate of spatial diversification rating migrations reinsurance renewal process risk management risk measure risk theory ruin probability spatial dependence spatial risk measures and corresponding axiomatic approach stochastic orders surplus process survival analysis systematic risk transfer function value-at-risk weighted cuts |
| ISBN | 3-03928-517-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Risk, Ruin and Survival |
| Record Nr. | UNINA-9910404092203321 |
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Ren Jiandong
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| MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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