Ruin Probabilities (2nd Edition) - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Ruin Probabilities (2nd Edition) write by Soren Asmussen. This book was released on 2010-09-09. Ruin Probabilities (2nd Edition) available in PDF, EPUB and Kindle. The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-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 - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Ruin Probabilities write by Soren Asmussen. This book was released on 2000-07-24. Ruin Probabilities available in PDF, EPUB and Kindle. 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 - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Ruin probabilities write by Søren Asmussen. This book was released on 2000. Ruin probabilities available in PDF, EPUB and Kindle. 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 - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Ruin Probabilities write by S?ren Asmussen. This book was released on 2000. Ruin Probabilities available in PDF, EPUB and Kindle. The text is a treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (for example, 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 computational vehicle and the connection to other applied probability areas like queueing theory.
Change Of Time And Change Of Measure (Second Edition)
Change Of Time And Change Of Measure (Second Edition) - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Change Of Time And Change Of Measure (Second Edition) write by Ole E Barndorff-nielsen. This book was released on 2015-05-07. Change Of Time And Change Of Measure (Second Edition) available in PDF, EPUB and Kindle. Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance.In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.
