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Author : Craig Steven Peters
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (2 download)
Download or read book Asymptotic Methods for Risk and Ruin Problems written by Craig Steven Peters and published by . This book was released on 1985 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : S?ren Asmussen
Publisher : World Scientific
ISBN 13 : 9814282529
Total Pages : 621 pages
Book Rating : 4.8/5 (142 download)
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.
Author : Dmitrii Silvestrov
Publisher : Springer
ISBN 13 : 3319066536
Total Pages : 388 pages
Book Rating : 4.3/5 (19 download)
Download or read book Modern Problems in Insurance Mathematics written by Dmitrii Silvestrov and published by Springer. This book was released on 2014-06-06 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of 21 papers presented at the International Cramér Symposium on Insurance Mathematics (ICSIM) held at Stockholm University in June, 2013. The book comprises selected contributions from several large research communities in modern insurance mathematics and its applications. The main topics represented in the book are modern risk theory and its applications, stochastic modelling of insurance business, new mathematical problems in life and non-life insurance and related topics in applied and financial mathematics. The book is an original and useful source of inspiration and essential reference for a broad spectrum of theoretical and applied researchers, research students and experts from the insurance business. In this way, Modern Problems in Insurance Mathematics will contribute to the development of research and academy–industry co-operation in the area of insurance mathematics and its applications.
Author : Vladimir E. Bening
Publisher : Walter de Gruyter
ISBN 13 : 3110936011
Total Pages : 456 pages
Book Rating : 4.1/5 (19 download)
Download or read book Generalized Poisson Models and their Applications in Insurance and Finance written by Vladimir E. Bening and published by Walter de Gruyter. This book was released on 2012-06-11 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Author : N. Balakrishnan
Publisher : Springer Science & Business Media
ISBN 13 : 1461202094
Total Pages : 541 pages
Book Rating : 4.4/5 (612 download)
Download or read book Asymptotic Methods in Probability and Statistics with Applications written by N. Balakrishnan and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditions of the 150-year-old St. Petersburg School of Probability and Statis tics had been developed by many prominent scientists including P. L. Cheby chev, A. M. Lyapunov, A. A. Markov, S. N. Bernstein, and Yu. V. Linnik. In 1948, the Chair of Probability and Statistics was established at the Department of Mathematics and Mechanics of the St. Petersburg State University with Yu. V. Linik being its founder and also the first Chair. Nowadays, alumni of this Chair are spread around Russia, Lithuania, France, Germany, Sweden, China, the United States, and Canada. The fiftieth anniversary of this Chair was celebrated by an International Conference, which was held in St. Petersburg from June 24-28, 1998. More than 125 probabilists and statisticians from 18 countries (Azerbaijan, Canada, Finland, France, Germany, Hungary, Israel, Italy, Lithuania, The Netherlands, Norway, Poland, Russia, Taiwan, Turkey, Ukraine, Uzbekistan, and the United States) participated in this International Conference in order to discuss the current state and perspectives of Probability and Mathematical Statistics. The conference was organized jointly by St. Petersburg State University, St. Petersburg branch of Mathematical Institute, and the Euler Institute, and was partially sponsored by the Russian Foundation of Basic Researches. The main theme of the Conference was chosen in the tradition of the St.
Author : Jewgeni H. Dshalalow
Publisher : CRC Press
ISBN 13 : 1000943291
Total Pages : 527 pages
Book Rating : 4.0/5 (9 download)
Download or read book Advances in Queueing Theory, Methods, and Open Problems written by Jewgeni H. Dshalalow and published by CRC Press. This book was released on 2023-07-21 with total page 527 pages. Available in PDF, EPUB and Kindle. Book excerpt: The progress of science and technology has placed Queueing Theory among the most popular disciplines in applied mathematics, operations research, and engineering. Although queueing has been on the scientific market since the beginning of this century, it is still rapidly expanding by capturing new areas in technology. Advances in Queueing provides a comprehensive overview of problems in this enormous area of science and focuses on the most significant methods recently developed. Written by a team of 24 eminent scientists, the book examines stochastic, analytic, and generic methods such as approximations, estimates and bounds, and simulation. The first chapter presents an overview of classical queueing methods from the birth of queues to the seventies. It also contains the most comprehensive bibliography of books on queueing and telecommunications to date. Each of the following chapters surveys recent methods applied to classes of queueing systems and networks followed by a discussion of open problems and future research directions. Advances in Queueing is a practical reference that allows the reader quick access to the latest methods.
Author : C. Corduneanu
Publisher : CRC Press
ISBN 13 : 1482287420
Total Pages : 512 pages
Book Rating : 4.4/5 (822 download)
Download or read book Volterra Equations and Applications written by C. Corduneanu and published by CRC Press. This book was released on 2000-01-10 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume comprises selected papers presented at the Volterra Centennial Symposium and is dedicated to Volterra and the contribution of his work to the study of systems - an important concept in modern engineering. Vito Volterra began his study of integral equations at the end of the nineteenth century and this was a significant development in th
Author : Gareth W. Peters
Publisher : John Wiley & Sons
ISBN 13 : 1118909534
Total Pages : 667 pages
Book Rating : 4.1/5 (189 download)
Download or read book Advances in Heavy Tailed Risk Modeling written by Gareth W. Peters and published by John Wiley & Sons. This book was released on 2015-05-26 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes. A companion with Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the handbook provides a complete framework for all aspects of operational risk management and includes: Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distribution approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation An exploration of the characterization and estimation of risk and insurance modeling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The handbook is also useful for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.
Author : Vladimir Panov
Publisher : Springer
ISBN 13 : 331965313X
Total Pages : 511 pages
Book Rating : 4.3/5 (196 download)
Download or read book Modern Problems of Stochastic Analysis and Statistics written by Vladimir Panov and published by Springer. This book was released on 2017-11-21 with total page 511 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics, and many others. The volume is dedicated to Valentin Konakov, head of the International Laboratory of Stochastic Analysis and its Applications on the occasion of his 70th birthday. Contributions were prepared by the participants of the international conference of the international conference “Modern problems of stochastic analysis and statistics”, held at the Higher School of Economics in Moscow from May 29 - June 2, 2016. It offers a valuable reference resource for researchers and graduate students interested in modern stochastics.
Author : Hans Bühlmann
Publisher : Springer Science & Business Media
ISBN 13 : 3540307117
Total Pages : 218 pages
Book Rating : 4.5/5 (43 download)
Download or read book Mathematical Methods in Risk Theory written by Hans Bühlmann and published by Springer Science & Business Media. This book was released on 2007-06-15 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "The huge literature in risk theory has been carefully selected and supplemented by personal contributions of the author, many of which appear here for the first time. The result is a systematic and very readable book, which takes into account the most recent developments of the field. It will be of great interest to the actuary as well as to the statistician . . ." -- Math. Reviews Vol. 43
Author : A. A. Borovkov
Publisher : Cambridge University Press
ISBN 13 : 1108901204
Total Pages : 437 pages
Book Rating : 4.1/5 (89 download)
Download or read book Asymptotic Analysis of Random Walks written by A. A. Borovkov and published by Cambridge University Press. This book was released on 2020-10-29 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a companion book to Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions by A.A. Borovkov and K.A. Borovkov. Its self-contained systematic exposition provides a highly useful resource for academic researchers and professionals interested in applications of probability in statistics, ruin theory, and queuing theory. The large deviation principle for random walks was first established by the author in 1967, under the restrictive condition that the distribution tails decay faster than exponentially. (A close assertion was proved by S.R.S. Varadhan in 1966, but only in a rather special case.) Since then, the principle has always been treated in the literature only under this condition. Recently, the author jointly with A.A. Mogul'skii removed this restriction, finding a natural metric for which the large deviation principle for random walks holds without any conditions. This new version is presented in the book, as well as a new approach to studying large deviations in boundary crossing problems. Many results presented in the book, obtained by the author himself or jointly with co-authors, are appearing in a monograph for the first time.
Author : Hanspeter Schmidli
Publisher : Springer
ISBN 13 : 3319720058
Total Pages : 242 pages
Book Rating : 4.3/5 (197 download)
Download or read book Risk Theory written by Hanspeter Schmidli and published by Springer. This book was released on 2018-04-04 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of classical actuarial techniques, including material that is not readily accessible elsewhere such as the Ammeter risk model and the Markov-modulated risk model. Other topics covered include utility theory, credibility theory, claims reserving and ruin theory. The author treats both theoretical and practical aspects and also discusses links to Solvency II. Written by one of the leading experts in the field, these lecture notes serve as a valuable introduction to some of the most frequently used methods in non-life insurance. They will be of particular interest to graduate students, researchers and practitioners in insurance, finance and risk management.
Author : University of California, Davis. Graduate Division
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.:/5 (37 download)
Download or read book Commencement Ceremony written by University of California, Davis. Graduate Division and published by . This book was released on 1985 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kerry Back
Publisher : Springer
ISBN 13 : 3540446443
Total Pages : 312 pages
Book Rating : 4.5/5 (44 download)
Download or read book Stochastic Methods in Finance written by Kerry Back and published by Springer. This book was released on 2004-11-15 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading.
Author : Yuliya Mishura
Publisher : Elsevier
ISBN 13 : 0081020988
Total Pages : 276 pages
Book Rating : 4.0/5 (81 download)
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
Author : Vsevolod K. Malinovskii
Publisher : CRC Press
ISBN 13 : 1000392945
Total Pages : 259 pages
Book Rating : 4.0/5 (3 download)
Download or read book Level-Crossing Problems and Inverse Gaussian Distributions written by Vsevolod K. Malinovskii and published by CRC Press. This book was released on 2021-07-26 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Level-Crossing Problems and Inverse Gaussian Distributions: Closed-Form Results and Approximations focusses on the inverse Gaussian approximation for the distribution of the first level-crossing time in a shifted compound renewal process framework. This approximation, whose name was coined by the author, is a successful competitor of the normal (or Cramér's), diffusion, and Teugels’ approximations, being a breakthrough in its conditions and accuracy. Since such approximations underlie numerous applications in risk theory, queueing theory, reliability theory, and mathematical theory of dams and inventories, this book is of interest not only to professional mathematicians, but also to physicists, engineers, and economists. People from industry, with a theoretical background in level-crossing problems, e.g., from the insurance industry, can also benefit from reading this book. Features: Primarily aimed at researchers and postgraduates, but may be of interest to some professionals working in related fields, such as the insurance industry Suitable for advanced courses in Applied Probability and, as a supplementary reading, for basic courses in Applied Probability
Author : René Carmona
Publisher : Springer
ISBN 13 : 3540733272
Total Pages : 248 pages
Book Rating : 4.5/5 (47 download)
Download or read book Paris-Princeton Lectures on Mathematical Finance 2004 written by René Carmona and published by Springer. This book was released on 2007-08-10 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.
