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Soren Asmussen
RUIN PROBABILITIES (V2) [PDF ebook]

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Cover of 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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Language English ● Format PDF ● Pages 400 ● ISBN 9789812779311 ● File size 13.1 MB ● Publisher World Scientific Publishing Company ● City Singapore ● Country SG ● Published 2000 ● Downloadable 24 months ● Currency EUR ● ID 2446397 ● Copy protection Adobe DRM

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