Ruin probabilities / Sren Asmussen, Hansjorg Albrecher.
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| Superior document: | Advanced series on statistical science & applied probability ; v. 14 |
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| TeilnehmendeR: | |
| Year of Publication: | 2010 |
| Edition: | 2nd ed. |
| Language: | English |
| Series: | Advanced series on statistical science & applied probability ;
v. 14. |
| Online Access: | |
| Physical Description: | xvii, 602 p. :; ill. |
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Table of Contents:
- 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 Levy processes
- Gerber-Shiu functions
- Further models with dependency
- Stochastic control
- Simulation methodology
- Miscellaneous topics.