Risk Theory: A Heavy Tail Approach

This book is written to help graduate students and young researchers to enter quickly into the subject of Risk Theory. It can also be used by actuaries and financial practitioners for the optimization of their decisions and further by regulatory authorities for the stabilization of the insurance industry. The topic of extreme claims is especially presented as a crucial feature of the modern ruin probability.
Contents: Classical Risk ModelRenewal Risk ModelRuin Probability EstimationExtreme Value TheoryRegular VariationRuin Under SubexponentialityRandom SumsThe Single Big JumpRuin Under Constant Interest ForceAbsolute RuinDiscrete Dependence ModelRuin Under DependenceMultivariate Regular Variation
Readership: Researchers in probability and statistics, mathematical economics/game theory/operations research.
Ruin Probability;Extreme Value Theory;Dependence Models;Asymptotic Analysis;Applied Probability;Actuarial Mathematics;Interest Rate;Financial Optimization;Renewal Risk Model;Finite Horizon Risk Model;Absolute Ruin;One Big Jump;Regular VariationKey Features:Combines the practical aspects of Risk Theory with theoretical background of Applied ProbabilityProvides a concrete structure of the class of heavy tailed distributions, providing the main subclasses of itDescribes several dependence models in relation with the large claims and the risk management