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portada Ruin Probabilities
Type
Physical Book
Author
Publisher
Language
English
Pages
400
Format
Hardcover
Weight
1.55
ISBN
9810222939
ISBN13
9789810222932
Categories

Ruin Probabilities

Soren Asmussen (Author) · World Scientific Publishing Company · Hardcover

Ruin Probabilities - Asmussen, Soren

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Synopsis "Ruin Probabilities"

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.

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The book is written in English.

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The binding of this edition is Hardcover.

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