Risk theory a heavy tail approach - Konstantinides, Dimitrios G. (Singapore World Scientific, 2018)
Preface -- Classical risk model -- Renewal risk model -- Ruin probability estimation -- Extreme value theory -- Regular variation -- Ruin under subexponentiality -- Random sums -- The single big jump -- Ruin under constant interest force -- Absolute ruin -- Discrete dependence model -- Ruin under dependence -- Multivariate regular variation -- Bibliography -- Index.
Includes bibliographical references (pages 487-489) and index.
Keywords: Decision making; Risk assessment; Risk perception; Risk