Ruin Probabilities

Name: Ruin Probabilities
SKU: 26984855
Price: 232.99 AUD
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Paperback / softback

Series:

Advanced Series on Statistical Science and Applied Probability

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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 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.

Release date Australia

September 14th, 2010

Author

Audience

Postgraduate, Research & Scholarly

Edition

Second Edition

Pages

620

Series

Advanced Series on Statistical Science and Applied Probability

ISBN-13

9789813203617

Product ID

26984855

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