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, exten...

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Bibliographic Details
Main Author: Asmussen, Søren (Author)
Format: Electronic eBook
Language:English
Published: Singapore World Scientific Pub. Co. c2000
Series:Advanced series on statistical science & applied probability v. 2
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Online Access:FHN01
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Summary: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
Physical Description:xi, 385 p. ill
ISBN:9789812779311

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