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Ruin Probabilities (2nd Edition)

By: Soren Asmussen,Hansjorg Albrecher

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Ruin Probabilities (2nd Edition)

By: Soren Asmussen,Hansjorg Albrecher

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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Page Count

621

Publisher

World Scientific

Published Date

ISBN 10

9814466921

ISBN 13

9789814466929

Ruin Probabilities (2nd Edition)

By: Soren Asmussen,Hansjorg Albrecher

Write a review Read reviews Take a Quiz Solve Book Puzzle

Ruin Probabilities (2nd Edition)

By: Soren Asmussen,Hansjorg Albrecher

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.

Average ratings

N/A

5

0%

4

0%

3

0%

2

0%

1

0%

Write a review

Solve jigsaw puzzle

Age

Page Count

621

Publisher

World Scientific

Published Date

ISBN 10

9814466921

ISBN 13

9789814466929

Book's by Hansjorg Albrecher

Ruin Probabilities (2nd Edition)

Ruin Probabilities (2nd Edition)

Ruin Probabilities (2nd Edition)

Ruin Probabilities (2nd Edition)

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