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Table of Contents
Introduction
Martingales and simple ruin calculations
Further general tools and results
The compound Poisson model
The probability of ruin within finite time
Renewal arrivals
Risk theory in a Markovian environment
Level-dependent risk processes
Matrix-analytic methods
Ruin probabilities in the presence of heavy tails
Ruin probabilities for Lévy processes
Gerber-Shiu functions
Further models with dependency
Stochastic control
Simulation methodology
Miscellaneous topics.
Martingales and simple ruin calculations
Further general tools and results
The compound Poisson model
The probability of ruin within finite time
Renewal arrivals
Risk theory in a Markovian environment
Level-dependent risk processes
Matrix-analytic methods
Ruin probabilities in the presence of heavy tails
Ruin probabilities for Lévy processes
Gerber-Shiu functions
Further models with dependency
Stochastic control
Simulation methodology
Miscellaneous topics.