Ruin Probabilities

Produk Detail:
  • Author : S?ren Asmussen
  • Publisher : World Scientific
  • Pages : 602 pages
  • ISBN : 9814282529
  • Rating : /5 from reviews
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Download or Read online Ruin Probabilities full in PDF, ePub and kindle. this book written by S?ren Asmussen and published by World Scientific which was released on 18 May 2021 with total page 602 pages. We cannot guarantee that Ruin Probabilities book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram‚r?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 substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.

Ruin Probabilities

Ruin Probabilities
  • Author : S?ren Asmussen,Hansj”rg Albrecher
  • Publisher : World Scientific
  • Release : 18 May 2021
GET THIS BOOK Ruin Probabilities

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram‚r?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 substantially updated

Ruin Probabilities

Ruin Probabilities
  • Author : Asmussen Soren
  • Publisher : World Scientific
  • Release : 24 July 2000
GET THIS BOOK Ruin Probabilities

The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (eg. 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 or periodicity. Special features of the book are the emphasis on change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas

Ruin Probabilities

Ruin Probabilities
  • Author : Yuliya Mishura,Olena Ragulina
  • Publisher : Elsevier
  • Release : 08 November 2016
GET THIS BOOK Ruin Probabilities

Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach deals with continuous-time risk models and covers several aspects of risk theory. The first of them is the smoothness of the survival probabilities. In particular, the book provides a detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities for different risk models. Next, it gives some possible applications of the results concerning the smoothness of the survival probabilities. Additionally, the book introduces the supermartingale approach, which generalizes the martingale