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.--