Ruin probabilities (2nd edition) (Advanced Stat Sci & Applied Probability)

Asmussen, Søren

ISBN 10: 9814282529 / ISBN 13: 9789814282529

Published by Wspc, 2010

About this Item

Seller Inventory # I-9789814282529

Bibliographic Details

• Title: Ruin probabilities (2nd edition) (Advanced Stat Sci & Applied Probability)
• Publisher: Wspc
• Publication Date: 2010
• Language: English
• ISBN 10: 9814282529
• ISBN 13: 9789814282529
• Binding: Soft cover
• Edition: 2nd Edition
• Condition: New

About this title

Synopsis

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.

From the Back Cover

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the CramrLundberg 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, GerberShiu functions and dependence.