ENGLISH

Ruin Probabilities (2nd Edition)(Statistical Science and Applied Probability)

By Søren Asmussen , Hansjorg Albrecher

Book information

Publisher
World Scientific Publishing Company
Year
2010
ISBN
9814282529, 9789814282529
LCC
HG8781 .A83 2010
Open Library ID
OL24538402M
Language
english
Format
PDF
Filesize
5 MB (4906051 bytes)
Series
Statistical Science and Applied Probability 14
Edition
Second
Pages
621\621
Orientation
yes
Scanned
no
Time added
2012-02-04 16:00:00
Математика;Теория вероятностей и математическая ст

Description

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.

Similar books