ENGLISH

Ruin Probabilities

By Søren Asmussen

Book information

Publisher
WS
Year
2010
ISBN
9814282529, 9789814282529
Language
english
Format
PDF
Filesize
3 MB (3025240 bytes)
Series
Advanced Series on Statistical Science & Applied Probability
Edition
2
Pages
621\621
Library
Kolxo3
Time added
2012-08-21 20:00:00

Description

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-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.

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