Ruin Probabilities
Format: Print Book
ISBN: 9789810222932
Tax included.
The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (eg. 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 or periodicity. Special features of the book are the emphasis on change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas like queueing theory.
Format: Hardcover
No of Pages: 400
Imprint: World Scientific
Publication date: 20000726
Series: Advanced Series On Statistical Science And Applied Probability
