Ruin Probabilities (2nd Edition)(Statistical Science and Applied Probability)
Søren Asmussen, Hansjörg Albrecher
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.
Catégories:
Année:
2010
Edition:
Second
Editeur::
World Scientific Publishing Company
Langue:
english
Pages:
621
ISBN 10:
9814282529
ISBN 13:
9789814282529
Collection:
Statistical Science and Applied Probability 14
Fichier:
PDF, 4.68 MB
IPFS:
,
english, 2010
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