Ruin probabilities
By: by Søren Asmussen & Hansjörg Albrecher
Contributors: Albrecher, Hansjörg
Edition: 2nd ed.
Series: Advanced series on statistical science and applied probability -- v. 14
Publisher: World Scientific; World Scientific Publishing Co Pte Ltd
Published: 2010
Place of publication: New Jersey
Language: eng
ISBN-13: 9789814282529
Notes: Includes bibliographical references and index.
Table of contents: title: Introduction; title: Martingales and simple ruin calculations; title: Further general tools and results; title: The compound Poisson model; title: The probability of ruin within finite time; title: Renewal arrivals; title: Risk theory in a Markovian environment; title: Level-dependent risk processes; title: Matrix-analytic methods; title: Ruin probabilities in the presence of heavy tails; title: Ruin probabilities for Lévy processes; title: Gerber-Shiu functions; title: Further models with dependency; title: Stochastic control; title: Simulation methodology; title: Miscellaneous topics.