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.
| ISBN: | 9789810222932 |
| Publication date: | 5th August 2000 |
| Author: | Søren Asmussen |
| Publisher: | World Scientific Publishing an imprint of WORLD SCIENTIFIC |
| Format: | Hardback |
| Pagination: | 385 pages |
| Series: | Advanced Series on Statistical Science & Applied Probability |
| Genres: |
Probability and statistics |
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.
Ruin Probabilities features in the following genres: Probability and statistics
Hardback. £94.50, down from the £105.00 cover price. Not Available.
Ruin Probabilities was written by Søren Asmussen and published by World Scientific Publishing an imprint of WORLD SCIENTIFIC
Ruin Probabilities has 385 pages
Yes it is part of Advanced Series on Statistical Science & Applied Probability series
£94.50, reduced from £105.00. Not Available.