Download or read book Ruin Probabilities written by S?ren Asmussen and published by World Scientific. This book was released on 2010 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramr?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.
Download or read book Ruin Probabilities written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Ruin Probabilities 2nd Edition written by Soren Asmussen and published by World Scientific Publishing Company. This book was released on 2010-09-14 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Ruin Probabilities written by Yuliya Mishura and published by Elsevier. This book was released on 2016-11-08 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Ruin Probabilities written by Asmussen Soren and published by World Scientific. This book was released on 2000-07-24 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Lagrangian Probability Distributions written by Prem C. Consul and published by Springer Science & Business Media. This book was released on 2006-07-25 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Ruin probabilities written by Søren Asmussen and published by . This book was released on 2000 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Probability via Expectation written by Peter Whittle and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2004 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book An Introduction to Heavy Tailed and Subexponential Distributions written by Sergey Foss and published by Springer Science & Business Media. This book was released on 2013-05-21 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way. Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference.
Download or read book Encyclopedia of Quantitative Risk Analysis and Assessment written by and published by John Wiley & Sons. This book was released on 2008-09-02 with total page 2163 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Complex Sciences written by Jie Zhou and published by Springer Science & Business Media. This book was released on 2009-06-29 with total page 1267 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Quasi Stationary Phenomena in Nonlinearly Perturbed Stochastic Systems written by Mats Gyllenberg and published by Walter de Gruyter. This book was released on 2008-10-31 with total page 593 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Modern Actuarial Risk Theory written by Rob Kaas and published by Springer Science & Business Media. This book was released on 2008-12-03 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Handbook of Graph Algorithms and Applications written by Krishnaiyan Thulasiraman and published by CRC Press. This book was released on 2015-05-12 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Applied Probability and Stochastic Processes written by Frank Beichelt and published by CRC Press. This book was released on 2018-09-03 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stochastic Processes for Insurance and Finance written by Tomasz Rolski and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability, the authors describe in general terms models based on Markov processes, martingales and various types of point processes. Discussing frequently asked insurance questions, the authors present a coherent overview of the subject and specifically address: The principal concepts from insurance and finance Practical examples with real life data Numerical and algorithmic procedures essential for modern insurance practices Assuming competence in probability calculus, this book will provide a fairly rigorous treatment of insurance risk theory recommended for researchers and students interested in applied probability as well as practitioners of actuarial sciences. Wiley Series in Probability and Statistics
