Ruin probabilities [electronic resource] / S�ren Asmussen, Hansj�org Albrecher.

By: Contributor(s): Series: Advanced series on statistical science & applied probability ; v. 14.Publication details: Singapore ; Hackensack, N.J. : World Scientific, c2010.Edition: 2nd edDescription: xvii, 602 p. : illSubject(s): Genre/Form: DDC classification:
  • 368/.01 22
LOC classification:
  • HG8781 .A83 2010eb
Online resources:
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 L�evy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics.
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Includes bibliographical references and index.

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 L�evy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics.

Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.

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