RUIN PROBABILITIES: 2 (ADVANCED SERIES ON STATISTICAL SCIENCE AND APPLIED PROBABILITY) - Hardcover

Asmussen, Søren

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.

About this title

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."

Edition details

• Publisher: World Scientific Publishing Co Pte Ltd
• Publication date: 2000
• Language: English
• ISBN 10: 9810222939
• ISBN 13: 9789810222932
• Binding: Hardcover
• Number of pages: 398