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Ruin Probabilities

Ruin Probabilities
A Book

by S?ren Asmussen,Hansj”rg Albrecher

  • Publisher : World Scientific
  • Release : 2010
  • Pages : 602
  • ISBN : 9814282529
  • Language : En, Es, Fr & De
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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
A Book

by Asmussen Soren

  • Publisher : World Scientific
  • Release : 2000-07-24
  • Pages : 400
  • ISBN : 9814500321
  • Language : En, Es, Fr & De
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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, Markov-modulation or periodicity. Special features of the book are the emphasis on change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas like queueing theory.

Ruin Probabilities

Ruin Probabilities
Smoothness, Bounds, Supermartingale Approach

by Yuliya Mishura,Olena Ragulina

  • Publisher : Elsevier
  • Release : 2016-11-08
  • Pages : 276
  • ISBN : 0081020988
  • Language : En, Es, Fr & De
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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 different risk models. Next, it gives some possible applications of the results concerning the smoothness of the survival probabilities. Additionally, the book introduces the supermartingale approach, which generalizes the martingale one introduced by Gerber, to get upper exponential bounds for the infinite-horizon ruin probabilities in some generalizations of the classical risk model with risky investments. Provides new original results Detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these results An excellent supplement to current textbooks and monographs in risk theory Contains a comprehensive list of useful references

Characteristics of Ruin Probabilities in Classical Risk Models with and Without Investment, Cox Risk Models and Perturbed Risk Models

Characteristics of Ruin Probabilities in Classical Risk Models with and Without Investment, Cox Risk Models and Perturbed Risk Models
A Book

by Hanspeter Schmidli

  • Publisher : Unknown Publisher
  • Release : 2000
  • Pages : 45
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Ruin Probabilities for a Regenerative Poisson Gap Generated Risk Process

Ruin Probabilities for a Regenerative Poisson Gap Generated Risk Process
A Book

by Romain Biard,Søren Asmussen

  • Publisher : Unknown Publisher
  • Release : 2011
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Retirement Income Recipes in R

Retirement Income Recipes in R
From Ruin Probabilities to Intelligent Drawdowns

by Moshe Arye Milevsky

  • Publisher : Springer Nature
  • Release : 2021
  • Pages : 329
  • ISBN : 303051434X
  • Language : En, Es, Fr & De
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Continuity Estimates for Ruin Probabilities

Continuity Estimates for Ruin Probabilities
A Book

by Farida Enikeeva,Vladimir Kalashnikov,Deimante Rusaityte,Københavns Universitet. Forsikringsmatematisk Laboratorium

  • Publisher : Unknown Publisher
  • Release : 1999
  • Pages : 20
  • ISBN : 9788778343260
  • Language : En, Es, Fr & De
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Insurance Abstracts and Reviews

Insurance Abstracts and Reviews
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 1990
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Probability and Mathematical Statistics

Probability and Mathematical Statistics
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2005
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Ruin Probabilities Under Various Stochastic Models

Ruin Probabilities Under Various Stochastic Models
A Book

by Andrei Lucian Badescu

  • Publisher : Unknown Publisher
  • Release : 2004
  • Pages : 272
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Dissertation Abstracts International

Dissertation Abstracts International
The sciences and engineering. B

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2006
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Economic Computation and Economic Cybernetics Studies and Research

Economic Computation and Economic Cybernetics Studies and Research
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2009
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Current Index to Statistics, Applications, Methods and Theory

Current Index to Statistics, Applications, Methods and Theory
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 1999
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Transactions

Transactions
A Book

by Society of Actuaries

  • Publisher : Unknown Publisher
  • Release : 1992
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Advances in Applied Probability

Advances in Applied Probability
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2007
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Uniform Asymptotics for Ruin Probabilities in a Dependent Renewal Risk Model with Stochastic Return on Investments

Uniform Asymptotics for Ruin Probabilities in a Dependent Renewal Risk Model with Stochastic Return on Investments
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2018
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Abstract: In this paper, an insurer is allowed to make risk-free and risky investments, and the price process of the investment portfolio is described as an exponential Lévy process. We study the asymptotic tail behavior for a non-standard renewal risk model with dependence structures. The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed step sizes, and the step sizes and inter-arrival times form a sequence of independent and identically distributed random pairs with a dependence structure. When the step-size distribution is heavy tailed, we obtain some uniform asymptotics for the finite-and infinite-time ruin probabilities.

Journal of Applied Probability

Journal of Applied Probability
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2003
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Encyclopedia of Quantitative Risk Analysis and Assessment: R-Z, Index

Encyclopedia of Quantitative Risk Analysis and Assessment: R-Z, Index
A Book

by Edward L. Melnick,Brian Everitt

  • Publisher : Unknown Publisher
  • Release : 2008
  • Pages : 1954
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Estimating ruin probabilities in the Cramér-Lundberg model with heavy-tailed claims

Estimating ruin probabilities in the Cramér-Lundberg model with heavy-tailed claims
A Book

by Ants Kaasik

  • Publisher : Unknown Publisher
  • Release : 2009
  • Pages : 134
  • ISBN : 9789949192465
  • Language : En, Es, Fr & De
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ASTIN Bulletin

ASTIN Bulletin
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2007
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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