Ruin Probabilities (Second Edition) (Hardcover) (ISBN-13: 9789814282529)

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

Author: Soren Asmussen, Hansjorg Albrecher
ISBN-10: 9814282529
ISBN-13: 9789814282529
Publisher: World Scientific Publishing Company
Language: English
Published: 09/01/2010
Pages: 620
Format: Hardcover
Weight: 2.20lbs
Size: 9.00h x 6.10w x 1.10d