The book is a comprehensive treatment of classical and modern ruin
probability theory. Some of the topics are Lundberg's inequality,
the Cramer-Lundberg approximation, exact solutions, other
approximations (eg. 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 or periodicity. Special features of the book are
the emphasis on change of measure techniques, phase-type
distributions as a computational vehicle and the connection to
other applied probability areas like queueing theory.
General
| Imprint: |
World Scientific Publishing Co Pte Ltd
|
| Country of origin: |
Singapore |
| Series: |
Advanced Series on Statistical Science & Applied Probability, 2 |
| Release date: |
2001 |
| First published: |
1996 |
| Authors: |
Soren Asmussen
|
| Dimensions: |
220mm (L) |
| Format: |
Hardcover
|
| Pages: |
400 |
| ISBN-13: |
978-981-02-2293-2 |
| Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
Promotions
|
| LSN: |
981-02-2293-9 |
| Barcode: |
9789810222932 |
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