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Author: Alexander Zeifman Publisher: MDPI ISBN: 3039219626 Category : Mathematics Languages : en Pages : 216
Book Description
The aim of this special issue is to publish original research papers that cover recent advances in the theory and application of stochastic processes. There is especial focus on applications of stochastic processes as models of dynamic phenomena in various research areas, such as queuing theory, physics, biology, economics, medicine, reliability theory, and financial mathematics. Potential topics include, but are not limited to: Markov chains and processes; large deviations and limit theorems; random motions; stochastic biological model; reliability, availability, maintenance, inspection; queueing models; queueing network models; computational methods for stochastic models; applications to risk theory, insurance and mathematical finance.
Author: Alexander Zeifman Publisher: MDPI ISBN: 3039219626 Category : Mathematics Languages : en Pages : 216
Book Description
The aim of this special issue is to publish original research papers that cover recent advances in the theory and application of stochastic processes. There is especial focus on applications of stochastic processes as models of dynamic phenomena in various research areas, such as queuing theory, physics, biology, economics, medicine, reliability theory, and financial mathematics. Potential topics include, but are not limited to: Markov chains and processes; large deviations and limit theorems; random motions; stochastic biological model; reliability, availability, maintenance, inspection; queueing models; queueing network models; computational methods for stochastic models; applications to risk theory, insurance and mathematical finance.
Author: Yuliya Mishura Publisher: Elsevier ISBN: 0081020988 Category : Mathematics Languages : en Pages : 278
Book Description
Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach deals with continuous-time risk models and covers several aspects of risk theory. The first of them is the smoothness of the survival probabilities. In particular, the book provides a detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities for different risk models. Next, it gives some possible applications of the results concerning the smoothness of the survival probabilities. Additionally, the book introduces the supermartingale approach, which generalizes the martingale one introduced by Gerber, to get upper exponential bounds for the infinite-horizon ruin probabilities in some generalizations of the classical risk model with risky investments. - Provides new original results - Detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these results - An excellent supplement to current textbooks and monographs in risk theory - Contains a comprehensive list of useful references
Author: Vladimir Panov Publisher: Springer ISBN: 331965313X Category : Mathematics Languages : en Pages : 506
Book Description
This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics, and many others. The volume is dedicated to Valentin Konakov, head of the International Laboratory of Stochastic Analysis and its Applications on the occasion of his 70th birthday. Contributions were prepared by the participants of the international conference of the international conference “Modern problems of stochastic analysis and statistics”, held at the Higher School of Economics in Moscow from May 29 - June 2, 2016. It offers a valuable reference resource for researchers and graduate students interested in modern stochastics.
Author: Publisher: John Wiley & Sons ISBN: 0470035498 Category : Mathematics Languages : en Pages : 2163
Book Description
Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.
Author: S?ren Asmussen Publisher: World Scientific ISBN: 9814282529 Category : Mathematics Languages : en Pages : 621
Book Description
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramr?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.
Author: T. L. Lai Publisher: ISBN: Category : Mathematics Languages : en Pages : 560
Book Description
Presents a collection of 18 papers, many of which are surveys, on asymptotic theory in probability and statistics, with applications to a variety of problems. This volume comprises three parts: limit theorems, statistics and applications, and mathematical finance and insurance. It is suitable for graduate students in probability and statistics.
Author: Soren Asmussen Publisher: World Scientific ISBN: 9814500321 Category : Mathematics Languages : en Pages : 399
Book Description
The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (eg. for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation or periodicity. Special features of the book are the emphasis on change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas like queueing theory.
Author: Remigijus Leipus Publisher: Springer Nature ISBN: 3031345533 Category : Mathematics Languages : en Pages : 99
Book Description
This book provides a compact and systematic overview of closure properties of heavy-tailed and related distributions, including closure under tail equivalence, convolution, finite mixing, maximum, minimum, convolution power and convolution roots, and product-convolution closure. It includes examples and counterexamples that give an insight into the theory and provides numerous references to technical details and proofs for a deeper study of the subject. The book will serve as a useful reference for graduate students, young researchers, and applied scientists.
Author: Mats Gyllenberg Publisher: Walter de Gruyter ISBN: 3110208253 Category : Mathematics Languages : en Pages : 593
Book Description
The book is devoted to studies of quasi-stationary phenomena in nonlinearly perturbed stochastic systems. New methods of asymptotic analysis for nonlinearly perturbed stochastic processes based on new types of asymptotic expansions for perturbed renewal equation and recurrence algorithms for construction of asymptotic expansions for Markov type processes with absorption are presented. Asymptotic expansions are given in mixed ergodic (for processes) and large deviation theorems (for absorption times) for nonlinearly perturbed regenerative processes, semi-Markov processes, and Markov chains. Applications to analysis of quasi-stationary phenomena in nonlinearly perturbed queueing systems, population dynamics and epidemic models, and for risk processes are presented. The book also contains an extended bibliography of works in the area. It is an essential reference for theoretical and applied researchers in the field of stochastic processes and their applications and may be also useful for doctoral and advanced undergraduate students.
Author: Alexander Zeifman
Author: Alexander Zeifman
Author: Yuliya Mishura
Author: Vladimir Panov
Author: 
Author: S?ren Asmussen
Author: T. L. Lai
Author: Soren Asmussen
Author: N. H. Bingham
Author: Remigijus Leipus
Author: Mats Gyllenberg