Stochastic risk analysis and management

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Title:

Author:

Harlamov, Boris, author.

ISBN:

9781119388883

9781119388869

9781119388876

Physical Description:

1 online resource

Series:

Stochastic models in survival analysis and reliability set ; volume 2

Stochastic models in survival analysis and reliability set ; volume 2.

Contents:

Mathematical Bases -- Cramér-Lundberg Model -- Models With the Premium Dependent on the Capital -- Heavy Tails -- Some Problems of Control.

Abstract:

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.

Local Note:

John Wiley and Sons

Subject Term:

Risk management -- Mathematical models.

Stochastic analysis.

Gestion du risque -- Modèles mathématiques.

Analyse stochastique.

BUSINESS & ECONOMICS -- Insurance -- Risk Assessment & Management.

MATHEMATICS.

Risk management -- Mathematical models

Stochastic analysis

Genre: