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- Herausgeber: John Wiley & Sons
- Kategorie: Wissenschaft und neue Technologien
- Sprache: Englisch
The author investigates the Cramer -Lundberg model, collecting the most interesting theorems and methods, which estimate probability of default for a company of insurance business. These offer different kinds of approximate values for probability of default on the base of normal and diffusion approach and some special asymptotic.
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Veröffentlichungsjahr: 2017
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Table of Contents
Cover
Title
Copyright
1 Mathematical Bases
1.1. Introduction to stochastic risk analysis
1.2. Basic methods
2 Cramér-Lundberg Model
2.1. Infinite horizon
2.2. Finite horizon
3 Models With the Premium Dependent on the Capital
3.1. Definitions and examples
4 Heavy Tails
4.1. Problem of heavy tails
4.2. Integro-differential equation
5 Some Problems of Control
5.1. Estimation of probability of ruin on a finite interval
5.2. Probability of the credit contract realization
5.3. Choosing the moment at which insurance begins
Bibliography
Index
End User License Agreement
List of Illustrations
1 Mathematical Bases
Figure 1.1. Dynamics of capital
2 Cramér-Lundberg Model
Figure 2.1. Loss process in Cramér-Lundberg model
Figure 2.2. Construction of measure Q(A)
Figure 2.3. Adjustment coefficient of Lundberg
Figure 2.4. For Gerber theorem
3 Models With the Premium Dependent on the Capital
Figure 3.1. Accumulation process
4 Heavy Tails
Figure 4.1. Graphical representation of theorem 4.1
5 Some Problems of Control
Figure 5.1. Part of the graph close to zero time
Figure 5.2. Full graph of the probability r(u)
Guide
Cover
Table of Contents
Begin Reading
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Stochastic Models in Survival Analysis and Reliability Set
coordinated byCatherine Huber-Carol and Mikhail Nikulin
Volume 2
Stochastic Risk Analysis and Management
Boris Harlamov
First published 2017 in Great Britain and the United States by ISTE Ltd and John Wiley & Sons, Inc.
Apart from any fair dealing for the purposes of research or private study, or criticism or review, as permitted under the Copyright, Designs and Patents Act 1988, this publication may only be reproduced, stored or transmitted, in any form or by any means, with the prior permission in writing of the publishers, or in the case of reprographic reproduction in accordance with the terms and licenses issued by the CLA. Enquiries concerning reproduction outside these terms should be sent to the publishers at the undermentioned address:
ISTE Ltd27-37 St George’s RoadLondon SW19 4EUUK
www.iste.co.uk
John Wiley & Sons, Inc.111 River StreetHoboken, NJ 07030USA
www.wiley.com
© ISTE Ltd 2017
The rights of Boris Harlamov to be identified as the author of this work have been asserted by him in accordance with the Copyright, Designs and Patents Act 1988.
Library of Congress Control Number: 2016961651
British Library Cataloguing-in-Publication Data
A CIP record for this book is available from the British Library
ISBN 978-1-78630-008-9
