Ruin probabilities

by Asmussen, Søren

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Title Statements

Full title :Ruin probabilities / by Søren Asmussen & Hansjörg Albrecher.

Edition Statements

Publication Date:2010.
Edition:2nd ed

Publication Statements

Publisher(s):World Scientific
Place of Publication:New Jersey
Language:eng
Publication Date:2010.

The Physical Object

Description:xvii, 602 p.

Edition Identifiers

ISBN:9789814282529, 9814282529
oclc:ocn726827067
LC Classification:HG8781
Dewey Decimal:368/.01

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