Ruin Probabilities

Author : S?ren Asmussen
Publisher : World Scientific
ISBN 13 : 9814282529
Total Pages : 621 pages
Book Rating : 4.29/5 ( download)

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Download or read book Ruin Probabilities written by S?ren Asmussen and published by World Scientific. This book was released on 2010 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author :
Publisher :
ISBN 13 : 9814466921
Total Pages : pages
Book Rating : 4.29/5 ( download)

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Download or read book Ruin Probabilities written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Soren Asmussen
Publisher : World Scientific Publishing Company
ISBN 13 : 9789813203617
Total Pages : 0 pages
Book Rating : 4.17/5 ( download)

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Download or read book Ruin Probabilities (2nd Edition) written by Soren Asmussen and published by World Scientific Publishing Company. This book was released on 2010-09-14 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-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.

Author : Yuliya Mishura
Publisher : Elsevier
ISBN 13 : 0081020988
Total Pages : 276 pages
Book Rating : 4.82/5 ( download)

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Download or read book Ruin Probabilities written by Yuliya Mishura and published by Elsevier. This book was released on 2016-11-08 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 one introduced by Gerber, to get upper exponential bounds for the infinite-horizon ruin probabilities in some generalizations of the classical risk model with risky investments. Provides new original results Detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these results An excellent supplement to current textbooks and monographs in risk theory Contains a comprehensive list of useful references

Author : Asmussen Soren
Publisher : World Scientific
ISBN 13 : 9814500321
Total Pages : 400 pages
Book Rating : 4.26/5 ( download)

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Download or read book Ruin Probabilities written by Asmussen Soren and published by World Scientific. This book was released on 2000-07-24 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 like queueing theory.

Author : Prem C. Consul
Publisher : Springer Science & Business Media
ISBN 13 : 0817644776
Total Pages : 363 pages
Book Rating : 4.72/5 ( download)

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Download or read book Lagrangian Probability Distributions written by Prem C. Consul and published by Springer Science & Business Media. This book was released on 2006-07-25 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fills a gap in book literature Examines many new Lagrangian probability distributions and their applications to a variety of different fields Presents background mathematical and statistical formulas for easy reference Detailed bibliography and index Exercises in many chapters May be used as a reference text or in graduate courses and seminars on Distribution Theory and Lagrangian Distributions

Author : Søren Asmussen
Publisher :
ISBN 13 :
Total Pages : 385 pages
Book Rating : 4.96/5 ( download)

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Download or read book Ruin probabilities written by Søren Asmussen and published by . This book was released on 2000 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 like queueing theory.

Author : Peter Whittle
Publisher : Springer Science & Business Media
ISBN 13 : 1461205093
Total Pages : 370 pages
Book Rating : 4.98/5 ( download)

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Download or read book Probability via Expectation written by Peter Whittle and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has exerted a continuing appeal since its original publication in 1970. It develops the theory of probability from axioms on the expectation functional rather than on probability measure, demonstrates that the standard theory unrolls more naturally and economically this way, and that applications of real interest can be addressed almost immediately. A secondary aim of the original text was to introduce fresh examples and convincing applications, and that aim is continued in this edition, a general revision plus the addition of chapters giving an economical introduction to dynamic programming, that is then applied to the allocation problems represented by portfolio selection and the multi-armed bandit. The investment theme is continued with a critical investigation of the concept of risk-free'trading and the associated Black-Sholes formula, while another new chapter develops the basic ideas of large deviations. The book may be seen as an introduction to probability for students with a basic mathematical facility, covering the standard material, but different in that it is unified by its theme and covers an unusual range of modern applications.

Author : Rob Kaas
Publisher : Springer Science & Business Media
ISBN 13 : 3540709983
Total Pages : 394 pages
Book Rating : 4.85/5 ( download)

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Download or read book Modern Actuarial Risk Theory written by Rob Kaas and published by Springer Science & Business Media. This book was released on 2008-08-17 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and much expanded edition emphasizes the implementation of these techniques through the use of R. This free but incredibly powerful software is rapidly developing into the de facto standard for statistical computation, not just in academic circles but also in practice. With R, one can do simulations, find maximum likelihood estimators, compute distributions by inverting transforms, and much more.

Author :
Publisher : John Wiley & Sons
ISBN 13 : 0470035498
Total Pages : 2163 pages
Book Rating : 4.98/5 ( download)

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Download or read book Encyclopedia of Quantitative Risk Analysis and Assessment written by and published by John Wiley & Sons. This book was released on 2008-09-02 with total page 2163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.