Ruin Probabilities (Paperback, Second Edition)

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber-Shiu functions and dependence.

General

Imprint:	Ws Professional
Country of origin:	Singapore
Series:	Advanced Series on Statistical Science & Applied Probability, 14
Release date:	September 2010
Authors:	Soren Asmussen • Hansjorg Albrecher
Dimensions:	229 x 152 x 32mm (L x W x T)
Format:	Paperback
Pages:	620
Edition:	Second Edition
ISBN-13:	978-981-3203-61-7
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics
LSN:	981-3203-61-7
Barcode:	9789813203617

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