破产概率（第2版） [Ruin Probabilities Second Edition] epub pdf mobi txt 电子书 下载 2024

破产概率（第2版） [Ruin Probabilities Second Edition] epub pdf mobi txt 电子书 下载 2024

☆☆☆☆☆
简体网页||繁体网页



点击这里下载

破产概率（第2版） [Ruin Probabilities Second Edition] epub pdf mobi txt 电子书 下载 2024

类似图书 点击查看全场最低价

---

内容简介

　　This book is a second edition of the book of the same title by the first authorwhich was published in 2000. The subject of ruin probabilities and related top- ics has since then undergone a considerable development, not to say boom. This much expanded and revised second edition aims at covering a substantial part of these developments as well as the classical topics.
　　R,isk theory in general and ruin probabilities in particular are traditionally considered as part of insurance mathematics, and has been an active area of research from the days of Lundberg all the way up to today. One reason for writing tlus book is a feeling that the area has in recent years achieved a con-siderable mathematical maturity, which has in particular removed one of the standard criticisms of the area, namely that it can only say something about very simple models and questions. Although in insurance practice, usually sim- pler (and coarser) risk measures like Value-at-Risk are used, it is widely believed that the thinking advocated by ruin theory is still important for modern risk management. For instance, in times of market-consistent valuation principles, the role of the time diversification effect of insurance portfolios, which is one of the core elements of ruin theory, should not be forgotten. In addition, ruin the- ory has fruitful methodological links and applications to other fields of applied probability, like queueing theory and mathematical finance (pricing of barrier options, credit products etc.). Apart from these remarks, we have deliberately stayed away from discussing the practical relevance of the theory; if the formu- lations occasionally give a different impression, it is not by intention. Thus, the book is basically mathematical in its flavor.

内页插图

目录

Preface
Notation and conventions
Ⅰ Introduction
1 The risk process
2 Claim size distributions
3 The arrival process
4 A summary of main results and methods

Ⅱ Martingales and simple ruin calculations
1 Wald martingales
2 Gambler's ruin.Two-sided ruin.Brownian motion
3 Further simple martingale calculations
4 More advanced martingales

Ⅲ Further general tools and results
1 Likelihood ratios and change of measure
2 Duality with other applied probability models
3 Random walks in discrete or continuous time
4 Markov additive processes
5 The ladder height distribution

Ⅳ The compound Poisson model
1 Introduction
2 The Pollaczeck-Khinchine formula
3 Special cases of the Pollaczeck-Khinchine formula
4 Change of measure via exponential families
5 Lundberg conjugation
6 Further topics related to the adjustment coefficient
7 Various approximations for the ruin probability
8 Comparing the risks of different claim size distributions
9 Sensitivity estimates
10 Estimation of the adjustment coefficient

Ⅴ The probability of ruin within finite time
1 Exponential claims
2 The ruin probability with no initial reserve
3 Laplace transforms
4 When does ruin occur？
5 Diffusion approximations
6 Corrected diffusion approximations
7 How does ruin occur？

Ⅵ Renewal arrivals
1 Introduction
2 Exponential claims.The compound Poisson model with negative claims
3 Change of measure via exponential families
4 The duality with queueing theory

Ⅶ Risk theory in a Markovian environment
1 Model and examples
2 The ladder height distribution
3 Change of measure via exponential families
4 Comparisons with the compound Poisson model
5 The Markovian arrival process
6 Risk theory in a periodic environment
7 Dual queueing models

Ⅷ Level-dependent risk processes
1 Introduction
2 The model with constant interest
3 The local adjustment coefficient.Logarithmic asymptotics
4 The model with tax
5 Discrete-time ruin problems with stochastic investment
6 Continuous-time ruin problems with stochastic investment

Ⅸ Matrix-analytic methods
1 Definition and basic properties of phase-type distributions
2 Renewal theory
3 The compound Poisson model
4 The renewal model
5 Markov-modulated input
6 Matrix-exponential distributions
7 Reserve-dependent premiums
8 Erlangization for the finite horizon case

Ⅹ Ruin probabilities in the presence of heavy tails
1 Subexponential distributions
2 The compound Poisson model
3 The renewal model
4 Finite-horizon ruin probabilities
5 Reserve-dependent premiums
6 Tail estimation

Ⅺ Ruin probabilities for Levy processes
1 Preliminaries
2 One-sided ruin theory
3 The scale function and two-sided ruin problems
4 Further topics
5 The scale function for two-sided phase-type jumps

Ⅻ Gerber-Shiu functions
1 Introduction
2 The compound Poisson model
3 The renewal model
4 Levy risk models

ⅩⅢ Further models with dependence
1 Large deviations
2 Heavy-tailed risk models with dependent input
3 Linear models
4 Risk processes with shot-noise Cox intensities
5 Causal dependency models
6 Dependent Sparre Andersen models
7 Gaussian models.Fractional Brownian motion
8 Ordering ofruin probabilities
9 Multi-dimensional risk processes

ⅩⅣ Stochastic control
1 Introduction
2 Stochastic dynamic programming
3 The Hamilton-Jacobi-Bellman equation

ⅩⅤ Simulation methodology
1 Generalities
2 Simulation via the Pollaczeck-Khinchine formula
3 Static importance sampling via Lundberg conjugation
4 Static importance sampling for the finite horizon case
5 Dynamic importance sampling
6 Regenerative simulation
7 Sensitivity analysis

ⅩⅥ Miscellaneous topics
1 More on discrete-time risk models
2 The distribution of the aggregate claims
3 Principles for premium calculation
4 Reinsurance

Appendix
A1 Renewal theory
A2 Wiener-Hopf factorization
A3 Matrix-exponentials
A4 Some linear algebra
A5 Complements on phase-type distributions
A6 Tauberian theorems
Bibliography
Index

前言/序言

破产概率（第2版） [Ruin Probabilities Second Edition] epub pdf mobi txt 电子书 下载 2024

破产概率（第2版） [Ruin Probabilities Second Edition] 下载 epub mobi pdf txt 电子书 2024

评分☆☆☆☆☆

　　好像在十三四岁这种年纪，每个男孩子都会近乎痴迷地开始玩游戏吧。除了自己喜欢玩之外，如果不玩游戏，根本就没有办法跟小伙伴交流啊，因为大家都在玩，聊的也是游戏。在我印象里，哪怕是那些“学霸”，好像也都在私下里玩。当然了，无一例外，大人们都会觉得打游戏是很不好的，简直是坏孩子的标签和学习进步的大敌。所以啊，要想让他们爽快地给钱去打游戏，简直是白日做梦。有一天晚上，我爸在电视上看到这个消息。等我打完球回到家，一身臭汗地坐在沙发上，我爸超级淡定地来到我对面坐下，然后说，你去《明星学院》参加比赛吧，进第一轮我给你50，进第二轮我给你200，要是你运气好能进到第三轮的话，我就给你500……哇，500块！简直就是一笔巨款！我当时眼睛就亮起来了，想了想，真是不错啊，就去转一圈吧，唱歌简简单单啦，挣的钱正好可以买向往已久的游戏装备。为了50块钱拼了！

评分☆☆☆☆☆

很好很适合学生老师阅读

评分☆☆☆☆☆

　　我开始慢慢地，从他们身上感受到一种灼热的气息。这点气息，最开始从那些唱着歌的灼热眼神中传染过来，在手心中微微发热，然后我的心里，慢慢因为这些热度而升起一种渴望，有一些东西想要冲破胸膛出来。嗯，应该可以叫作火种吧！

评分☆☆☆☆☆

　　比赛的时候我十三岁，是年龄最小的一个。在比赛中，不管是一起参加比赛的哥哥姐姐，还是节目组的工作人员，都把我当最小的弟弟看待。他们教我选歌，指导我唱歌，帮我排舞，告诉我舞台应该怎么站，上台应该怎么做。当时我就觉得这么一群人，都是带着光的。后来懂事了才知道，那是一种因为对音乐的热爱而发出的光芒。

评分☆☆☆☆☆

　　从初选到进入前60，一路过关都很轻松，我慢慢地就不紧张了。但从60进24的时候，反而妈妈开始紧张，但她很相信我，到处说，我的儿子一定会进决赛的。当时周围的人都觉得她疯了吧。

评分☆☆☆☆☆

　　比赛的时候我十三岁，是年龄最小的一个。在比赛中，不管是一起参加比赛的哥哥姐姐，还是节目组的工作人员，都把我当最小的弟弟看待。他们教我选歌，指导我唱歌，帮我排舞，告诉我舞台应该怎么站，上台应该怎么做。当时我就觉得这么一群人，都是带着光的。后来懂事了才知道，那是一种因为对音乐的热爱而发出的光芒。

评分☆☆☆☆☆

　　那时候排练厅和后台的气氛，总是那么快乐。有时候别人在练习、我们在等安排的时候，一群人会在场外就地坐下。拿着吉他的哥哥弹起熟悉的曲子，一群人便欢快地唱起来。

评分☆☆☆☆☆

　　每次我去到排练后台的时候，哥哥姐姐们都已经到了，我觉得自己差不多了准备想走的时候，他们还在很认真地练着。开始我很困惑：“不就是把歌词记下来唱一唱跳一跳，需要练这么久吗？”然后就默默地站在旁边，看他们练歌，改编，一次一次地调试副歌和乐器的伴奏。

评分☆☆☆☆☆

　　那时候排练厅和后台的气氛，总是那么快乐。有时候别人在练习、我们在等安排的时候，一群人会在场外就地坐下。拿着吉他的哥哥弹起熟悉的曲子，一群人便欢快地唱起来。

类似图书 点击查看全场最低价