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Soren Asmussen
RUIN PROBABILITIES (V2) [PDF ebook]

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Couverture du Soren Asmussen: RUIN PROBABILITIES (V2) (PDF)

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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Langue Anglais ● Format PDF ● Pages 400 ● ISBN 9789812779311 ● Taille du fichier 13.1 MB ● Maison d’édition World Scientific Publishing Company ● Lieu Singapore ● Pays SG ● Publié 2000 ● Téléchargeable 24 mois ● Devise EUR ● ID 2446397 ● Protection contre la copie Adobe DRM

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