xvii, 602 pages : illustrations ; 24 cm.
9789814282529 hardcover alkaline paper 9814282529 hardcover alkaline paper 9789814282536 e-book
Advanced series on statistical science & applied probability ; v. 14.
Bibliography, etc. Note
Includes bibliographical references and index.
Formatted Contents Note
Introduction Martingales and simple ruin calculations Further general tools and results The compound Poisson model The probability of ruin within finite time Renewal arrivals Risk theory in a Markovian environment Level-dependent risk processes Matrix-analytic methods Ruin probabilities in the presence of heavy tails Ruin probabilities for Lévy processes Gerber-Shiu functions Further models with dependency Stochastic control Simulation methodology Miscellaneous topics.