Ruin Probabilities: 2 (Advanced Series on Statistical Science & Applied Probability) - Hardcover

Asmussen, Soren

 
9789810222932: Ruin Probabilities: 2 (Advanced Series on Statistical Science & Applied Probability)
Hardcover
ISBN 10: 9810222939 ISBN 13: 9789810222932
Publisher: World Scientific Publishing Co Pte Ltd, 2000

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.

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Review

""No other book covers such a vast area, at least none that is so up-to-date...one can see that Ruin Probabilities "is invaluable for researchers in risk theory and perhaps other fields in applied probability. The book can also be used as a textbook for a graduate-level course on ruin theory...The teacher's task is made easy by the recommendation on the introduction on how to get started with the book, and then how to proceed in a second reading."

"About this title" may belong to another edition of this title.

Publisher
World Scientific Publishing Co Pte Ltd
Publication date
2000
Language
English
ISBN 10 
9810222939
ISBN 13 
9789810222932
Binding
Hardcover
Number of pages
400