Ruin Probabilities

Author : S?ren Asmussen,Hansj”rg Albrecher
Publisher : World Scientific
Page : 621 pages
File Size : 53,8 Mb
Release : 2010
Category : Mathematics
ISBN : 9789814282529

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Ruin Probabilities by S?ren Asmussen,Hansj”rg Albrecher Pdf

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.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 40,5 Mb
Release : 2024-05-18
Category : Electronic
ISBN : 9789814466929

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Ruin Probabilities by Anonim Pdf

Author : Yuliya Mishura,Olena Ragulina
Publisher : Elsevier
Page : 276 pages
File Size : 49,7 Mb
Release : 2016-11-08
Category : Business & Economics
ISBN : 9780081020982

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Ruin Probabilities by Yuliya Mishura,Olena Ragulina Pdf

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

Author : Asmussen Soren
Publisher : World Scientific
Page : 400 pages
File Size : 50,9 Mb
Release : 2000-07-24
Category : Mathematics
ISBN : 9789814500326

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Ruin Probabilities by Asmussen Soren Pdf

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.

Author : Paul Glasserman
Publisher : Springer Science & Business Media
Page : 624 pages
File Size : 48,5 Mb
Release : 2004
Category : Business & Economics
ISBN : 0387004513

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Monte Carlo Methods in Financial Engineering by Paul Glasserman Pdf

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Author : Rob Kaas,Marc Goovaerts,Jan Dhaene
Publisher : Springer Science & Business Media
Page : 394 pages
File Size : 53,6 Mb
Release : 2008-12-03
Category : Business & Economics
ISBN : 9783540867364

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Modern Actuarial Risk Theory by Rob Kaas,Marc Goovaerts,Jan Dhaene Pdf

Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and.

Author : Peter Whittle
Publisher : Springer Science & Business Media
Page : 370 pages
File Size : 44,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461205098

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Probability via Expectation by Peter Whittle Pdf

This book has exerted a continuing appeal since its original publication in 1970. It develops the theory of probability from axioms on the expectation functional rather than on probability measure, demonstrates that the standard theory unrolls more naturally and economically this way, and that applications of real interest can be addressed almost immediately. A secondary aim of the original text was to introduce fresh examples and convincing applications, and that aim is continued in this edition, a general revision plus the addition of chapters giving an economical introduction to dynamic programming, that is then applied to the allocation problems represented by portfolio selection and the multi-armed bandit. The investment theme is continued with a critical investigation of the concept of risk-free'trading and the associated Black-Sholes formula, while another new chapter develops the basic ideas of large deviations. The book may be seen as an introduction to probability for students with a basic mathematical facility, covering the standard material, but different in that it is unified by its theme and covers an unusual range of modern applications.

Author : Søren Asmussen
Publisher : Unknown
Page : 385 pages
File Size : 41,6 Mb
Release : 2000
Category : Electronic books
ISBN : OCLC:258397096

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Ruin probabilities by Søren Asmussen Pdf

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.

Author : Prem C. Consul,Felix Famoye
Publisher : Springer Science & Business Media
Page : 352 pages
File Size : 50,7 Mb
Release : 2006-07-25
Category : Mathematics
ISBN : 9780817644772

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Lagrangian Probability Distributions by Prem C. Consul,Felix Famoye Pdf

Fills a gap in book literature Examines many new Lagrangian probability distributions and their applications to a variety of different fields Presents background mathematical and statistical formulas for easy reference Detailed bibliography and index Exercises in many chapters May be used as a reference text or in graduate courses and seminars on Distribution Theory and Lagrangian Distributions

Author : Jie Zhou
Publisher : Springer Science & Business Media
Page : 1267 pages
File Size : 46,7 Mb
Release : 2009-06-29
Category : Computers
ISBN : 9783642024696

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Complex Sciences by Jie Zhou Pdf

I was invited to join the Organizing Committee of the First International Conference on Complex Sciences: Theory and Applications (Complex 2009) as its ninth member. At that moment, eight distinguished colleagues, General Co-chairs Eugene Stanley and Gaoxi Xiao, Technical Co-chairs J·nos Kertész and Bing-Hong Wang, Local Co-chairs Hengshan Wang and Hong-An Che, Publicity Team Shi Xiao and Yubo Wang, had spent hundreds of hours pushing the conference half way to its birth. Ever since then, I have been amazed to see hundreds of papers flooding in, reviewed and commented on by the TPC members. Finally, more than 200 contributions were - lected for the proceedings currently in your hands. They include about 200 papers from the main conference (selected from more than 320 submissions) and about 33 papers from the five collated workshops: Complexity Theory of Art and Music (COART) Causality in Complex Systems (ComplexCCS) Complex Engineering Networks (ComplexEN) Modeling and Analysis of Human Dynamics (MANDYN) Social Physics and its Applications (SPA) Complex sciences are expanding their colonies at such a dazzling speed that it - comes literally impossible for any conference to cover all the frontiers.

Author : Frank Beichelt
Publisher : CRC Press
Page : 562 pages
File Size : 47,9 Mb
Release : 2018-09-03
Category : Business & Economics
ISBN : 9781315362571

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Applied Probability and Stochastic Processes by Frank Beichelt Pdf

Applied Probability and Stochastic Processes, Second Edition presents a self-contained introduction to elementary probability theory and stochastic processes with a special emphasis on their applications in science, engineering, finance, computer science, and operations research. It covers the theoretical foundations for modeling time-dependent random phenomena in these areas and illustrates applications through the analysis of numerous practical examples. The author draws on his 50 years of experience in the field to give your students a better understanding of probability theory and stochastic processes and enable them to use stochastic modeling in their work. New to the Second Edition Completely rewritten part on probability theory—now more than double in size New sections on time series analysis, random walks, branching processes, and spectral analysis of stationary stochastic processes Comprehensive numerical discussions of examples, which replace the more theoretically challenging sections Additional examples, exercises, and figures Presenting the material in a student-friendly, application-oriented manner, this non-measure theoretic text only assumes a mathematical maturity that applied science students acquire during their undergraduate studies in mathematics. Many exercises allow students to assess their understanding of the topics. In addition, the book occasionally describes connections between probabilistic concepts and corresponding statistical approaches to facilitate comprehension. Some important proofs and challenging examples and exercises are also included for more theoretically interested readers.

Author : Krishnaiyan Thulasiraman,Arun Kumar Somani,Sarma Vrudhula
Publisher : CRC Press
Page : 656 pages
File Size : 43,9 Mb
Release : 2015-05-12
Category : Mathematics
ISBN : 9781482227062

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The Handbook of Graph Algorithms and Applications by Krishnaiyan Thulasiraman,Arun Kumar Somani,Sarma Vrudhula Pdf

The Handbook of Graph Algorithms, Volume II : Applications focuses on a wide range of algorithmic applications, including graph theory problems. The book emphasizes new algorithms and approaches that have been triggered by applications. The approaches discussed require minimal exposure to related technologies in order to understand the material. Each chapter is devoted to a single application area, from VLSI circuits to optical networks to program graphs, and features an introduction by a pioneer researcher in that particular field. The book serves as a single-source reference for graph algorithms and their related applications.

Author : Mats Gyllenberg,Dmitrii S. Silvestrov
Publisher : Walter de Gruyter
Page : 593 pages
File Size : 40,7 Mb
Release : 2008-10-31
Category : Mathematics
ISBN : 9783110208252

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Quasi-Stationary Phenomena in Nonlinearly Perturbed Stochastic Systems by Mats Gyllenberg,Dmitrii S. Silvestrov Pdf

The book is devoted to studies of quasi-stationary phenomena in nonlinearly perturbed stochastic systems. New methods of asymptotic analysis for nonlinearly perturbed stochastic processes based on new types of asymptotic expansions for perturbed renewal equation and recurrence algorithms for construction of asymptotic expansions for Markov type processes with absorption are presented. Asymptotic expansions are given in mixed ergodic (for processes) and large deviation theorems (for absorption times) for nonlinearly perturbed regenerative processes, semi-Markov processes, and Markov chains. Applications to analysis of quasi-stationary phenomena in nonlinearly perturbed queueing systems, population dynamics and epidemic models, and for risk processes are presented. The book also contains an extended bibliography of works in the area. It is an essential reference for theoretical and applied researchers in the field of stochastic processes and their applications and may be also useful for doctoral and advanced undergraduate students.

Author : Yu. M. Suhov
Publisher : American Mathematical Soc.
Page : 228 pages
File Size : 46,5 Mb
Release : 2002
Category : Mathematics
ISBN : 0821833065

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Analytic Methods in Applied Probability by Yu. M. Suhov Pdf

This volume is dedicated to F. I. Karpelevich, an outstanding Russian mathematician who made important contributions to applied probability theory. The book contains original papers focusing on several areas of applied probability and its uses in modern industrial processes, telecommunications, computing, mathematical economics, and finance. It opens with a review of Karpelevich's contributions to applied probability theory and includes a bibliography of his works. Other articles discuss queueing network theory, in particular, in heavy traffic approximation (fluid models). The book is suitable for graduate students, theoretical and applied probabilists, computer scientists, and engineers.

Author : Anonim
Publisher : John Wiley & Sons
Page : 2163 pages
File Size : 55,6 Mb
Release : 2008-09-02
Category : Mathematics
ISBN : 9780470035498

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Encyclopedia of Quantitative Risk Analysis and Assessment by Anonim Pdf

Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.