Ruin Probabilities

Written By S?ren Asmussen
Ruin Probabilities
  • Publsiher : World Scientific
  • Release : 28 June 2022
  • ISBN : 9814282529
  • Pages : 602 pages
  • Rating : 4/5 from 21 reviews
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Read or download book entitled Ruin Probabilities written by S?ren Asmussen which was release on 28 June 2022, this book published by World Scientific. Available in PDF, EPUB and Kindle Format. 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.

Ruin Probabilities

Ruin Probabilities
  • Author : S?ren Asmussen,Hansj”rg Albrecher
  • Publisher : World Scientific
  • Release Date : 2010
  • Total pages : 602
  • ISBN : 9814282529
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Summary : 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 ...

Ruin Probabilities

Ruin Probabilities
  • Author : Yuliya Mishura,Olena Ragulina
  • Publisher : Elsevier
  • Release Date : 2016-11-08
  • Total pages : 276
  • ISBN : 9814282529
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Summary : 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 ...

Ruin Probabilities

Ruin Probabilities
  • Author : Asmussen Soren
  • Publisher : World Scientific
  • Release Date : 2000-07-24
  • Total pages : 400
  • ISBN : 9814282529
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Summary : 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, ...

Applied Probability and Queues

Applied Probability and Queues
  • Author : Soeren Asmussen
  • Publisher : Springer Science & Business Media
  • Release Date : 2008-01-08
  • Total pages : 438
  • ISBN : 9814282529
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Summary : "This book is a highly recommendable survey of mathematical tools and results in applied probability with special emphasis on queueing theory....The second edition at hand is a thoroughly updated and considerably expended version of the first edition.... This book and the way the various topics are balanced are a ...

Lagrangian Probability Distributions

Lagrangian Probability Distributions
  • Author : Prem C. Consul,Felix Famoye
  • Publisher : Springer Science & Business Media
  • Release Date : 2006-07-25
  • Total pages : 352
  • ISBN : 9814282529
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Summary : 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 ...

Probability via Expectation

Probability via Expectation
  • Author : Peter Whittle
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-12-06
  • Total pages : 353
  • ISBN : 9814282529
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Summary : 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 ...

Encyclopedia of Quantitative Risk Analysis and Assessment

Encyclopedia of Quantitative Risk Analysis and Assessment
  • Author : Anonim
  • Publisher : John Wiley & Sons
  • Release Date : 2008-09-02
  • Total pages : 2176
  • ISBN : 9814282529
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Summary : 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, ...

Mathematical Modeling in Economics and Finance Probability Stochastic Processes and Differential Equations

Mathematical Modeling in Economics and Finance  Probability  Stochastic Processes  and Differential Equations
  • Author : Steven R. Dunbar
  • Publisher : American Mathematical Soc.
  • Release Date : 2019-04-03
  • Total pages : 232
  • ISBN : 9814282529
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Summary : Mathematical Modeling in Economics and Finance is designed as a textbook for an upper-division course on modeling in the economic sciences. The emphasis throughout is on the modeling process including post-modeling analysis and criticism. It is a textbook on modeling that happens to focus on financial instruments for the management ...

Probability and Stochastic Modeling

Probability and Stochastic Modeling
  • Author : Vladimir I. Rotar
  • Publisher : CRC Press
  • Release Date : 2006-09-20
  • Total pages : 508
  • ISBN : 9814282529
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Summary : A First Course in Probability with an Emphasis on Stochastic ModelingProbability and Stochastic Modeling not only covers all the topics found in a traditional introductory probability course, but also emphasizes stochastic modeling, including Markov chains, birth-death processes, and reliability models. Unlike most undergraduate-level probability t...

Matrix Exponential Distributions in Applied Probability

Matrix Exponential Distributions in Applied Probability
  • Author : Mogens Bladt,Bo Friis Nielsen
  • Publisher : Springer
  • Release Date : 2017-05-18
  • Total pages : 736
  • ISBN : 9814282529
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Summary : This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can also be identified as the class of non-negative distributions with ...

Stochastic Processes for Insurance and Finance

Stochastic Processes for Insurance and Finance
  • Author : Tomasz Rolski,Hanspeter Schmidli,V. Schmidt,Jozef L. Teugels
  • Publisher : John Wiley & Sons
  • Release Date : 2009-09-25
  • Total pages : 680
  • ISBN : 9814282529
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Summary : Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability, the authors describe in general terms models based on Markov processes, martingales and various types of point processes. Discussing frequently asked insurance ...

Applied Probability and Stochastic Processes

Applied Probability and Stochastic Processes
  • Author : Frank Beichelt
  • Publisher : CRC Press
  • Release Date : 2018-09-03
  • Total pages : 562
  • ISBN : 9814282529
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Summary : Applied Probability and Stochastic Processes, Second Edition presents a self-contained introduction to elementary probability theory and stochastic processes with a special emphasis on their applications in science, engineering, finance, computer science, and operations research. It covers the theoretical foundations for modeling time-dependent random phenomena in these areas and illustrates applications ...

Analytic Methods in Applied Probability

Analytic Methods in Applied Probability
  • Author : Yu. M. Suhov
  • Publisher : American Mathematical Soc.
  • Release Date : 2002
  • Total pages : 217
  • ISBN : 9814282529
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Summary : This volume is dedicated to F. I. Karpelevich, an outstanding Russian mathematician who made important contributions to applied probability theory. The book contains original papers focusing on several areas of applied probability and its uses in modern industrial processes, telecommunications, computing, mathematical economics, and finance. It opens with a review ...

Issues in Logic Probability Combinatorics and Chaos Theory 2013 Edition

Issues in Logic  Probability  Combinatorics  and Chaos Theory  2013 Edition
  • Author : Anonim
  • Publisher : ScholarlyEditions
  • Release Date : 2013-05-01
  • Total pages : 1037
  • ISBN : 9814282529
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Summary : Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Approximation Theory. The editors have built Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Approximation ...

Modern Actuarial Risk Theory

Modern Actuarial Risk Theory
  • Author : Rob Kaas,Marc Goovaerts,Jan Dhaene
  • Publisher : Springer Science & Business Media
  • Release Date : 2008-12-03
  • Total pages : 400
  • ISBN : 9814282529
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Summary : 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 ...