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

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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] 下載 mobi epub pdf txt 電子書 格式

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。

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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。

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　　我開始慢慢地，從他們身上感受到一種灼熱的氣息。這點氣息，最開始從那些唱著歌的灼熱眼神中傳染過來，在手心中微微發熱，然後我的心裏，慢慢因為這些熱度而升起一種渴望，有一些東西想要衝破胸膛齣來。嗯，應該可以叫作火種吧！

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　　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☆☆☆☆☆

　　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☆☆☆☆☆

　　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。

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很好很適閤學生老師閱讀

評分☆☆☆☆☆

　　真是單純而直接啊，然後我爸就幫我報瞭名，交瞭50塊錢報名費，而且還給我50塊錢揣兜裏。我是衝著爸爸的奬勵來的，但是沒想到上去之後非常緊張，那天唱的是“小鎮姑娘））：“不明白，為什麼我不能放得開……”還是帶著動作的。初生牛犢不怕虎，所以隨便後來他們纔告訴我，所有評委都通過。完第一輪之後，我跟爸爸說：“如果我又進的話，怎麼辦？”我爸乾脆地說：“言而有信，200。”我當時就想，為瞭200，我一定會進前60的。

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