You might also like

More about Ruin Theoretical Comparisons

• Book details
• Synopsis
• Trending among others

You get 119 loyalty points

Book synopsis

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.

Book details

• Full title: Ruin Theoretical Comparisons
• Author: Vesa Pekkanen
• Language: English
• Binding: Paperback
• Number of pages: 96
• EAN: 9783659921438
• ID: 13788266
• Publisher: LAP Lambert Academic Publishing
• Weight: 159 g
• Dimensions: 220 × 150 × 6 mm
• Published: 2016

Trending among others

---

---

---