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Risk, Ruin and Survival
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Developing techniques for assessing various risks and calculating probabilities of ruin and survival are exciting topics for mathematically-inclined academics. For practicing actuaries and financial engineers, the resulting insights have provided enormous opportunities but also created serious challenges to overcome, thus facilitating closer cooperation between industries and academic institutions. In this book, several renown researchers with extensive interdisciplinary research experiences share their thoughts that, in one way or another, contribute to the betterment of practice and theory of decision making under uncertainty. Behavioral, cultural, mathematical, and statistical aspects of risk assessment and modelling have been explored, and have been often illustrated using real and simulated data. Topics range from financial and insurance risks to security-type risks, from one-dimensional to multi- and even infinite-dimensional risks.
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Keywords
- advanced measurement approach
- aggregate discounted claims
- aggregate risk
- archimedean copulas
- background risk
- central limit theorem
- Clustering
- collective risk model
- concomitant
- confidence interval
- constant interest rate
- Copula
- Copulas
- covariance
- cumulative Parisian ruin
- discounted aggregate claims
- dual risk model
- financial time series
- hazard model
- individual risk model
- information processing
- Insurance
- integral equation
- Laplace transform
- markovian arrival process
- max-stable random fields
- maximal tail dependence
- Monte Carlo
- multiplicative background risk model
- multivariate gamma distribution
- n/a
- national culture
- numerical approximation
- operational risk
- order statistic
- partial integro-differential equation
- rate of spatial diversification
- rating migrations
- Reinsurance
- renewal process
- Risk management
- Risk Measure
- risk theory
- ruin probability
- spatial dependence
- spatial risk measures and corresponding axiomatic approach
- stochastic orders
- surplus process
- Survival Analysis
- systematic risk
- transfer function
- value-at-risk
- weighted cuts
Links
DOI: 10.3390/books978-3-03928-517-4Editions
