破産概率（第2版） [Ruin Probabilities Second Edition] epub pdf mobi txt 電子書 下載 2024

破産概率（第2版） [Ruin Probabilities Second Edition] epub pdf mobi txt 電子書 下載 2024

☆☆☆☆☆
簡體網頁||繁體網頁



點擊這裡下載

破産概率（第2版） [Ruin Probabilities Second Edition] epub pdf mobi txt 電子書 下載 2024

类似图書 點擊查看全場最低價

---

內容簡介

　　This book is a second edition of the book of the same title by the first authorwhich was published in 2000. The subject of ruin probabilities and related top- ics has since then undergone a considerable development, not to say boom. This much expanded and revised second edition aims at covering a substantial part of these developments as well as the classical topics.
　　R,isk theory in general and ruin probabilities in particular are traditionally considered as part of insurance mathematics, and has been an active area of research from the days of Lundberg all the way up to today. One reason for writing tlus book is a feeling that the area has in recent years achieved a con-siderable mathematical maturity, which has in particular removed one of the standard criticisms of the area, namely that it can only say something about very simple models and questions. Although in insurance practice, usually sim- pler (and coarser) risk measures like Value-at-Risk are used, it is widely believed that the thinking advocated by ruin theory is still important for modern risk management. For instance, in times of market-consistent valuation principles, the role of the time diversification effect of insurance portfolios, which is one of the core elements of ruin theory, should not be forgotten. In addition, ruin the- ory has fruitful methodological links and applications to other fields of applied probability, like queueing theory and mathematical finance (pricing of barrier options, credit products etc.). Apart from these remarks, we have deliberately stayed away from discussing the practical relevance of the theory; if the formu- lations occasionally give a different impression, it is not by intention. Thus, the book is basically mathematical in its flavor.

內頁插圖

目錄

Preface
Notation and conventions
Ⅰ Introduction
1 The risk process
2 Claim size distributions
3 The arrival process
4 A summary of main results and methods

Ⅱ Martingales and simple ruin calculations
1 Wald martingales
2 Gambler's ruin.Two-sided ruin.Brownian motion
3 Further simple martingale calculations
4 More advanced martingales

Ⅲ Further general tools and results
1 Likelihood ratios and change of measure
2 Duality with other applied probability models
3 Random walks in discrete or continuous time
4 Markov additive processes
5 The ladder height distribution

Ⅳ The compound Poisson model
1 Introduction
2 The Pollaczeck-Khinchine formula
3 Special cases of the Pollaczeck-Khinchine formula
4 Change of measure via exponential families
5 Lundberg conjugation
6 Further topics related to the adjustment coefficient
7 Various approximations for the ruin probability
8 Comparing the risks of different claim size distributions
9 Sensitivity estimates
10 Estimation of the adjustment coefficient

Ⅴ The probability of ruin within finite time
1 Exponential claims
2 The ruin probability with no initial reserve
3 Laplace transforms
4 When does ruin occur？
5 Diffusion approximations
6 Corrected diffusion approximations
7 How does ruin occur？

Ⅵ Renewal arrivals
1 Introduction
2 Exponential claims.The compound Poisson model with negative claims
3 Change of measure via exponential families
4 The duality with queueing theory

Ⅶ Risk theory in a Markovian environment
1 Model and examples
2 The ladder height distribution
3 Change of measure via exponential families
4 Comparisons with the compound Poisson model
5 The Markovian arrival process
6 Risk theory in a periodic environment
7 Dual queueing models

Ⅷ Level-dependent risk processes
1 Introduction
2 The model with constant interest
3 The local adjustment coefficient.Logarithmic asymptotics
4 The model with tax
5 Discrete-time ruin problems with stochastic investment
6 Continuous-time ruin problems with stochastic investment

Ⅸ Matrix-analytic methods
1 Definition and basic properties of phase-type distributions
2 Renewal theory
3 The compound Poisson model
4 The renewal model
5 Markov-modulated input
6 Matrix-exponential distributions
7 Reserve-dependent premiums
8 Erlangization for the finite horizon case

Ⅹ Ruin probabilities in the presence of heavy tails
1 Subexponential distributions
2 The compound Poisson model
3 The renewal model
4 Finite-horizon ruin probabilities
5 Reserve-dependent premiums
6 Tail estimation

Ⅺ Ruin probabilities for Levy processes
1 Preliminaries
2 One-sided ruin theory
3 The scale function and two-sided ruin problems
4 Further topics
5 The scale function for two-sided phase-type jumps

Ⅻ Gerber-Shiu functions
1 Introduction
2 The compound Poisson model
3 The renewal model
4 Levy risk models

ⅩⅢ Further models with dependence
1 Large deviations
2 Heavy-tailed risk models with dependent input
3 Linear models
4 Risk processes with shot-noise Cox intensities
5 Causal dependency models
6 Dependent Sparre Andersen models
7 Gaussian models.Fractional Brownian motion
8 Ordering ofruin probabilities
9 Multi-dimensional risk processes

ⅩⅣ Stochastic control
1 Introduction
2 Stochastic dynamic programming
3 The Hamilton-Jacobi-Bellman equation

ⅩⅤ Simulation methodology
1 Generalities
2 Simulation via the Pollaczeck-Khinchine formula
3 Static importance sampling via Lundberg conjugation
4 Static importance sampling for the finite horizon case
5 Dynamic importance sampling
6 Regenerative simulation
7 Sensitivity analysis

ⅩⅥ Miscellaneous topics
1 More on discrete-time risk models
2 The distribution of the aggregate claims
3 Principles for premium calculation
4 Reinsurance

Appendix
A1 Renewal theory
A2 Wiener-Hopf factorization
A3 Matrix-exponentials
A4 Some linear algebra
A5 Complements on phase-type distributions
A6 Tauberian theorems
Bibliography
Index

前言/序言

破産概率（第2版） [Ruin Probabilities Second Edition] epub pdf mobi txt 電子書 下載 2024

破産概率（第2版） [Ruin Probabilities Second Edition] 下載 epub mobi pdf txt 電子書

評分☆☆☆☆☆

　　那時候排練廳和後颱的氣氛，總是那麼快樂。有時候彆人在練習、我們在等安排的時候，一群人會在場外就地坐下。拿著吉他的哥哥彈起熟悉的麯子，一群人便歡快地唱起來。

評分☆☆☆☆☆

　　比賽的時候我十三歲，是年齡最小的一個。在比賽中，不管是一起參加比賽的哥哥姐姐，還是節目組的工作人員，都把我當最小的弟弟看待。他們教我選歌，指導我唱歌，幫我排舞，告訴我舞颱應該怎麼站，上颱應該怎麼做。當時我就覺得這麼一群人，都是帶著光的。後來懂事瞭纔知道，那是一種因為對音樂的熱愛而發齣的光芒。

評分☆☆☆☆☆

很好很適閤學生老師閱讀

評分☆☆☆☆☆

　　好像在十三四歲這種年紀，每個男孩子都會近乎癡迷地開始玩遊戲吧。除瞭自己喜歡玩之外，如果不玩遊戲，根本就沒有辦法跟小夥伴交流啊，因為大傢都在玩，聊的也是遊戲。在我印象裏，哪怕是那些“學霸”，好像也都在私下裏玩。當然瞭，無一例外，大人們都會覺得打遊戲是很不好的，簡直是壞孩子的標簽和學習進步的大敵。所以啊，要想讓他們爽快地給錢去打遊戲，簡直是白日做夢。有一天晚上，我爸在電視上看到這個消息。等我打完球迴到傢，一身臭汗地坐在沙發上，我爸超級淡定地來到我對麵坐下，然後說，你去《明星學院》參加比賽吧，進第一輪我給你50，進第二輪我給你200，要是你運氣好能進到第三輪的話，我就給你500……哇，500塊！簡直就是一筆巨款！我當時眼睛就亮起來瞭，想瞭想，真是不錯啊，就去轉一圈吧，唱歌簡簡單單啦，掙的錢正好可以買嚮往已久的遊戲裝備。為瞭50塊錢拼瞭！

評分☆☆☆☆☆

參加《明星學院》在我的人生裏是一個非常重要的關鍵點。那時我十三四歲，什麼也不懂，學瞭一堆東西，都不喜歡，愛打遊戲，卻又總是被傢裏人說這是不學好。我不懂自己想要什麼，不懂自己應該做什麼，更想都沒想過什麼人生和未來瞭。去參加比賽的原因非常簡單——打遊戲需要50塊錢。

評分☆☆☆☆☆

參加《明星學院》在我的人生裏是一個非常重要的關鍵點。那時我十三四歲，什麼也不懂，學瞭一堆東西，都不喜歡，愛打遊戲，卻又總是被傢裏人說這是不學好。我不懂自己想要什麼，不懂自己應該做什麼，更想都沒想過什麼人生和未來瞭。去參加比賽的原因非常簡單——打遊戲需要50塊錢。

評分☆☆☆☆☆

　　每次我去到排練後颱的時候，哥哥姐姐們都已經到瞭，我覺得自己差不多瞭準備想走的時候，他們還在很認真地練著。開始我很睏惑：“不就是把歌詞記下來唱一唱跳一跳，需要練這麼久嗎？”然後就默默地站在旁邊，看他們練歌，改編，一次一次地調試副歌和樂器的伴奏。

評分☆☆☆☆☆

　　從初選到進入前60，一路過關都很輕鬆，我慢慢地就不緊張瞭。但從60進24的時候，反而媽媽開始緊張，但她很相信我，到處說，我的兒子一定會進決賽的。當時周圍的人都覺得她瘋瞭吧。

評分☆☆☆☆☆

　　比賽的時候我十三歲，是年齡最小的一個。在比賽中，不管是一起參加比賽的哥哥姐姐，還是節目組的工作人員，都把我當最小的弟弟看待。他們教我選歌，指導我唱歌，幫我排舞，告訴我舞颱應該怎麼站，上颱應該怎麼做。當時我就覺得這麼一群人，都是帶著光的。後來懂事瞭纔知道，那是一種因為對音樂的熱愛而發齣的光芒。

类似图書 點擊查看全場最低價