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.
Soren Asmussen & Hansjorg Albrecher
Ruin Probabilities (2nd Edition) [PDF ebook]
Ruin Probabilities (2nd Edition) [PDF ebook]
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язык английский ● Формат PDF ● страницы 620 ● ISBN 9789814282536 ● Размер файла 5.5 MB ● издатель World Scientific Publishing Company ● город Singapore ● Страна SG ● опубликованный 2010 ● Издание 2 ● Загружаемые 24 месяцы ● валюта EUR ● Код товара 2448032 ● Защита от копирования Adobe DRM
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