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Ruin probabilities / Søren Asmussen, Hansjörg Albrecher.
Tipo de material:
TextoSeries Advanced series on statistical science & applied probability ; 14.Editor: Singapore ; New Jersey : World Scientific, 2010Fecha de copyright: ©2010Edición: Second editionDescripción: xvii, 602 páginas : ilustraciones ; 24 cmTipo de contenido: - texto
- sin mediación
- volumen
- 9789814282529
- 9814282529
- HG 8781 A86.2010
Contenidos:
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.
| Tipo de ítem | Biblioteca actual | Colección | Signatura topográfica | Copia número | Estado | Fecha de vencimiento | Código de barras | |
|---|---|---|---|---|---|---|---|---|
| Libros | Biblioteca Francisco Xavier Clavigero Acervo | Acervo General | HG 8781 A86.2010 (Navegar estantería(Abre debajo)) | ej. 1 | Disponible | UIA170816 |
Incluye referencias bibliográficas e índice.
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.
