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Publication date: 17 May 2010

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814282536/toc.shtml

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simulation stochastic control subexponential distributions large deviations risk process diffusion approximations compound Poisson model phase-type distributions ruin probabilities Markovian environment renewal model queuing models claim size distribution level-dependent risk process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Large deviations (60F10) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Renewal theory (60K05)

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