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Ruin Probabilities

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Ruin Probabilities Synopsis

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.

About This Edition

ISBN: 9789814282529
Publication date: 14th September 2010
Author: Soren (Aarhus Univ, Denmark) Asmussen, Hansjorg (Univ Of Lausanne, Switzerland) Albrecher
Publisher: World Scientific Publishing Co Pte Ltd
Format: Hardback
Pagination: 620 pages
Series: Advanced Series on Statistical Science & Applied Probability
Genres: Probability and statistics