Ruin Probabilities

Søren Asmussen author Hansjörg Albrecher author

Format:Paperback

Publisher:World Scientific Publishing Co Pte Ltd

Published:14th Sep '10

Currently unavailable, and unfortunately no date known when it will be back

Ruin Probabilities cover

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.

ISBN: 9789813203617

Dimensions: unknown

Weight: unknown

620 pages