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• Anotace
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Anotace knihy

This book is intended for everyone interested in ruin theory, especially those who wonder how analysis changes in the presence of heavy-tailed claims or risky investments. The focus is on the Cramér-Lundberg model and two of its extensions, a diffusion perturbed model and a model with risky investments. For each model, ruin probabilities are calculated for degenerately, uniformly and exponentially distributed claim sizes as well as for Pareto-distributed claim sizes. These ruin probabilities are then compared with one another. For the extended models, a pure diffusion risk reserve process is also analyzed.

Parametry knihy

• Plný název: Ruin Theoretical Comparisons
• Autor: Vesa Pekkanen
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 96
• EAN: 9783659921438
• ID: 13788266
• Nakladatelství: LAP Lambert Academic Publishing
• Hmotnost: 159 g
• Rozměry: 220 × 150 × 6 mm
• Rok vydání: 2016

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