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Ruin Theoretical Comparisons
Language
English
English
Book
Paperback
This book is intended for everyone interested in ruin theory, especially those who wonder how analys...
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Libristo code: 13788266
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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.
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About the book
Full name
Ruin Theoretical Comparisons
Author
Vesa Pekkanen
Language
English
English
Binding
Book - Paperback
Date of issue
2016
Number of pages
96
EAN
9783659921438
Libristo code
13788266
Publishers
LAP Lambert Academic Publishing
Weight
159
Dimensions
150 x 220 x 6
Categories
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