Ruin probabilities
| Main Author: | |
|---|---|
| Corporate Author: | |
| Other Authors: | |
| Format: | Book |
| Language: | English |
| Published: |
Singapore ; Hackensack, N.J. :
World Scientific,
c2010.
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| Edition: | 2nd ed. |
| Series: | Advanced series on statistical science & applied probability ;
v. 14 |
| Subjects: | |
| Online Access: | http://site.ebrary.com/lib/ucy/Doc?id=10480047 |
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 Lβevy processes
- Gerber-Shiu functions
- Further models with dependency
- Stochastic control
- Simulation methodology
- Miscellaneous topics.