Risk Theory

A Heavy Tail Approach

Nonfiction, Science & Nature, Mathematics, Statistics, Business & Finance, Finance & Investing, Finance
Cover of the book Risk Theory by Dimitrios G Konstantinides, World Scientific Publishing Company
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Author: Dimitrios G Konstantinides ISBN: 9789813223165
Publisher: World Scientific Publishing Company Publication: July 7, 2017
Imprint: WSPC Language: English
Author: Dimitrios G Konstantinides
ISBN: 9789813223165
Publisher: World Scientific Publishing Company
Publication: July 7, 2017
Imprint: WSPC
Language: English

This book is written to help graduate students and young researchers to enter quickly into the subject of Risk Theory. It can also be used by actuaries and financial practitioners for the optimization of their decisions and further by regulatory authorities for the stabilization of the insurance industry. The topic of extreme claims is especially presented as a crucial feature of the modern ruin probability.

Contents:

  • Classical Risk Model
  • Renewal Risk Model
  • Ruin Probability Estimation
  • Extreme Value Theory
  • Regular Variation
  • Ruin Under Subexponentiality
  • Random Sums
  • The Single Big Jump
  • Ruin Under Constant Interest Force
  • Absolute Ruin
  • Discrete Dependence Model
  • Ruin Under Dependence
  • Multivariate Regular Variation

Readership: Researchers in probability and statistics, mathematical economics/game theory/operations research.
Key Features:

  • Combines the practical aspects of Risk Theory with theoretical background of Applied Probability
  • Provides a concrete structure of the class of heavy tailed distributions, providing the main subclasses of it
  • Describes several dependence models in relation with the large claims and the risk management
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book is written to help graduate students and young researchers to enter quickly into the subject of Risk Theory. It can also be used by actuaries and financial practitioners for the optimization of their decisions and further by regulatory authorities for the stabilization of the insurance industry. The topic of extreme claims is especially presented as a crucial feature of the modern ruin probability.

Contents:

Readership: Researchers in probability and statistics, mathematical economics/game theory/operations research.
Key Features:

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