Publication:3560912
zbMath1247.91080MaRDI QIDQ3560912
Soren Asmussen, Hansjoerg Albrecher
Publication date: 17 May 2010
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814282536/toc.shtml
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
60G50: Sums of independent random variables; random walks
60G44: Martingales with continuous parameter
60J60: Diffusion processes
60F10: Large deviations
60K15: Markov renewal processes, semi-Markov processes
60K37: Processes in random environments
60-02: Research exposition (monographs, survey articles) pertaining to probability theory
60K05: Renewal theory
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