Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Save to My Library
Look up keyword or section
Like this
4Activity

Table Of Contents

Introduction
1 The risk process
2 Claimsizedistributions
3 The arrivalprocess
4 A summary of main results and methods
5 Conventions
Some general tools and results
1 Martingales
2 Likelihood ratios and change ofmeasure
3 Duality with other applied probability models
4 Random walks in discrete or continuous time
5. MARKOV ADDITIVE PROCESSES 39
5 Markov additive processes
6. THE LADDER HEIGHT DISTRIBUTION 47
6 The ladder height distribution
2. THE POLLACZECK-KHINCHINE FORMULA 61
2 The Pollaczeck-Khinchine formula
3 Special cases of the Pollaczeck-Khinchine for-
4. CHANGE OFMEASUREVIA EXPONENTIAL FAMILIES 67
4 Change of measure via exponential families
5 Lundberg conjugation
7. VARIOUS APPROXIMATIONS FOR THE RUIN PROBABILITY 79
8 Comparing the risks of differentclaim size dis-
9 Sensitivity estimates
10 Estimation of the adjustment coefficient
The probability of ruin within finite time
1 Exponential claims
2 The ruin probability with no initial reserve
3 Laplace transforms
4 When doesruin occur?
5 Diffusion approximations
6 Corrected diffusion approximations
7 Howdoes ruin occur?
1 Introduction
3. CHANGE OF MEASURE VIA EXPONENTIAL FAMILIES 137
3 Change of measure via exponential families
4 The duality with queueing theory
1 Model and examples
2 The ladder height distribution
4 Comparisons with the compound Poisson mo-
5 The Markovian arrival process
6 Risktheoryin a periodic environment
7 Dual queueing models
Premiums depending on the current reserve
2 The model with interest
Matrix-analytic methods
2 Renewal theory
3 The compound Poisson model
4 Therenewal model
5Markov-modulated input
6 Matrix-exponential distributions
7 Reserve-dependent premiums
1 Subexponential distributions
2 The compound Poisson model
3 Therenewal model
4 Models with dependent input
5 Finite-horizon ruin probabilities
6. RESERVE-DEPENDENT PREMIUMS 279
6 Reserve-dependent premiums
Simulationmethodology
1 Generalities
2. SIMULATION VIA THE POLLACZECK-KHINCHINE FORMULA285
2 Simulationvia the Pollaczeck-Khinchine for-
3 Importance sampling via Lundberg conjuga-
4 Importance sampling for the finite horizon case
5 Regenerative simulation
6 Sensitivity analysis
Miscellaneous topics
2 Further applications of martingales
3 Large deviations
4 The distribution of the aggregate claims
6 Reinsurance
Al Renewal theory
A2 Wiener-Hopf factorization
3 Matrix-exponentials
A5Complements on phase-type distributions
0 of .
Results for:
No results containing your search query
P. 1
Ruin Prob Asmussen

Ruin Prob Asmussen

Ratings: (0)|Views: 2,621|Likes:
Published by Mist Chen

More info:

Published by: Mist Chen on Nov 10, 2010
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

11/06/2011

pdf

text

original

You're Reading a Free Preview
Pages 8 to 85 are not shown in this preview.
You're Reading a Free Preview
Pages 93 to 170 are not shown in this preview.
You're Reading a Free Preview
Pages 178 to 205 are not shown in this preview.
You're Reading a Free Preview
Pages 213 to 334 are not shown in this preview.
You're Reading a Free Preview
Pages 342 to 399 are not shown in this preview.

Activity (4)

You've already reviewed this. Edit your review.
1 hundred reads
verai1131 liked this
gabymour liked this
Raghu Nayak liked this

You're Reading a Free Preview

Download
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->