Mendeley出力
＜図書＞
Ruin probabilities
| 責任表示 | Søren Asmussen, Hansjörg Albrecher |
|---|---|
| シリーズ | Advanced series on statistical science & applied probability ; vol. 14 |
| データ種別 | 図書 |
| 版 | 2nd ed |
| 出版情報 | New Jersey : World Scientific , c2010 |
| 本文言語 | 英語 |
| 大きさ | xvii, 602 p. ; 24 cm |
| 概要 | The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the CramrLundberg approximation, exact solutions, other app...oximations (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, GerberShiu functions and dependence. 続きを見る |
| 目次 | 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 LeÌvy processes Gerber-Shiu functions Further models with dependency Stochastic control Simulation methodology Miscellaneous topics.続きを見る |
| 電子版へのリンク | https://hdl.handle.net/2324/7012129 |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
|---|---|---|---|---|---|---|---|---|---|---|
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理系図3F 数理独自 | ASMU/10/3a | 2010 |
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033212010003151 |
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書誌詳細
| 一般注記 | Includes bibliographical references and index |
|---|---|
| 著者標目 | *Asmussen, Søren Albrecher, Hansjörg |
| 件 名 | LCSH:Insurance -- Mathematics 全ての件名で検索 |
| 書誌ID | 1001430774 |
| ISBN | 9789814282529 |
| NCID | BB03376874 |
| 巻冊次 | ISBN:9789814282529 |
| 登録日 | 2010.10.05 |
| 更新日 | 2010.10.05 |