Risk, Ruin and Survival: Decision Making in Insurance and Finance

• Main Author: Ren, Jiandong (auth)
• Other Authors: Sendova, Kristina (auth), Zitikis, Ricardas (auth)
• Format: Electronic Book Chapter
• Language: English
• Published: MDPI - Multidisciplinary Digital Publishing Institute 2020
• Subjects: insurance; n/a; multiplicative background risk model; renewal process; dual risk model; collective risk model; risk measure; aggregate risk; Laplace transform; transfer function; risk management; risk theory; maximal tail dependence; constant interest rate; partial integro-differential equation; reinsurance; financial time series; spatial risk measures and corresponding axiomatic approach; central limit theorem; integral equation; Markovian arrival process; systematic risk; information processing; discounted aggregate claims; surplus process; weighted cuts; rate of spatial diversification; national culture; operational risk; covariance; cumulative Parisian ruin; spatial dependence; background risk; survival analysis; Monte Carlo; aggregate discounted claims; stochastic orders; order statistic; max-stable random fields; copulas; hazard model; multivariate gamma distribution; copula; advanced measurement approach; concomitant; archimedean copulas; rating migrations; ruin probability; clustering; confidence interval; individual risk model; numerical approximation; value-at-risk
• Online Access: DOAB: download the publication; DOAB: description of the publication

Summary

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.

Physical Description

1 electronic resource (210 p.)

ISBN

books978-3-03928-517-4
9783039285167
9783039285174

Access

Open Access