Non-Fiction Books:

Ruin Probabilities

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Ruin Probabilities by Hansjorg Albrecher
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Description

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-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.
Release date Australia
March 31st, 2010
Country of Publication
Singapore
Edition
Second Edition
Imprint
World Scientific Publishing Co Pte Ltd
Pages
620
Dimensions
155x229x28
ISBN-13
9789814282529
Product ID
4016204

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