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04100cam a2200373 a 4500 |
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c000379769 |
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CARM |
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20110211125721.0 |
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110211s2000 nju b 001 0 eng d |
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|a 21448966
|z 23824797
|5 LACONCORD2021
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| 020 |
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|a 9810222939 (alk. paper)
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| 035 |
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|a (OCoLC)43836603
|5 LACONCORD2021
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| 040 |
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|a DLC
|b eng
|c DLC
|d NUN
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| 042 |
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|a pcc
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0 |
0 |
|a HG8781
|b .A83 2000
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|a 31.70
|2 bcl
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| 100 |
1 |
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|a Asmussen, Søren.
|
| 245 |
1 |
0 |
|a Ruin probabilities /
|c Søren Asmussen.
|
| 260 |
|
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|a River Edge, NJ :
|b World Scientific,
|c c2000.
|
| 300 |
|
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|a ix, 385 p., ;
|c 23 cm.
|
| 490 |
1 |
|
|a Advanced series on statistical science and applied probability ;
|v vol. 2
|
| 504 |
|
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|a Includes bibliographical references and index.
|
| 505 |
0 |
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|a I. Introduction -- II. Some general tools and results -- Martingales -- Likelihood ratios and change of measure -- Duality with other applied probability models -- Random walks in discrete or continuous time -- Markov additive processes -- The ladder height distribution -- III. The compound Poisson model -- The Pollaczeck-Khinchine formula -- Special cases of the Pollaczeck-Khinchine formula -- Change of measure via exponential families -- Lundberg conjugation -- Further topics related to the adjustment coefficient -- Various approximations for the ruin probability -- Comparing the risks of different claim size distributions -- Sensitivity estimates -- Estimation of the adjustment coefficient -- IV. The probability of ruin within finite time -- Exponential claims -- The ruin probability with no initial reserve -- Laplace transforms -- When does ruin occur? -- Diffusion approximations -- Corrected diffusion approximations -- How does ruin occur? -- V. Renewal arrivals -- Exponential claims. The compound Poisson model with negative claims -- Change of measure via exponential families -- The duality with queueing theory -- VI. Risk theory in a Markovian environment -- Model and examples -- The ladder height distribution -- Change of measure via exponential families -- Comparisons with the compound Poisson model -- The Markovian arrival process -- Risk theory in a periodic environment -- Dual queueing models -- VII. Premiums depending on the current reserve -- The model with interest -- The local adjustment coefficient. Logarithmic asymptotics -- VIII. Matrix-analytic methods -- Definition and basic properties of phase-type distributions -- Renewal theory -- The compound Poisson model -- The renewal model -- Markov-modulated input -- Matrix-exponential distributions -- Reserve-dependent premiums -- IX. Ruin probabilities in the presence of heavy tails -- Subexponential distributions -- The compound Poisson model -- The renewal model -- Models with dependent input -- Finite-horizon ruin probabilities -- Reserve-dependent premiums -- X. Simulation methodology -- Generalities -- Simulation via the Pollaczeck-Khinchine formula -- Importance sampling via Lundberg conjugation -- Importance sampling for the finite horizon case -- Regenerative simulation -- Sensitivity analysis -- XI. Miscellaneous topics -- The ruin problem for Bernoulli random walk and Brownian motion. The two-barrier ruin problem -- Further applications of martingales -- Large deviations -- The distribution of the aggregate claims -- Principles for premium calculation -- Reinsurance -- App. A1. Renewal theory -- App. A2. Wiener-Hopf factorization -- App. A3. Matrix-exponentials -- App. A4. Some linear algebra -- App. A5. Complements on phase-type distributions.
|
| 650 |
|
0 |
|a Insurance
|x Mathematics.
|
| 650 |
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0 |
|a Risk.
|
| 830 |
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0 |
|a Advanced series on statistical science & applied probability ;
|v vol. 2.
|
| 852 |
8 |
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|b CARM
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