Harlamov, Boris,

Stochastic Risk Analysis and Management- Vol. 2 / Boris Harlamov. - Hoboken, NJ : Iste/Hermes Science Pub Wiley, 2017. - vii, 151 p. ; 24 cm. - Stochastic models in survival analysis and reliability set ; volume 2 .

Includes bibliographical references and index.

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

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.--

9781786300089 (hbk.) : $114.95 1786300087

2016961651


Risk management--Mathematical models.
Stochastic analysis.

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