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Ruin probabilities
Hardback
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- Book Synopsis
- 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.
- Product Details
-
- ISBN
- 9789810222932
- Format
- Hardback
- Publisher
- World Scientific Publishing, (05 August 2000)
- Number of Pages
- 385
- Language
- English
- Dimensions
- 23 mm
- Series:
- See all books in this series
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