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Ruin Probabilities
Engelsk
Bogcover for Ruin Probabilities af Hansjorg Albrecher, Soren Asmussen, 9789813203617
Specifikationer
Sprog:
Engelsk
Sider:
620
ISBN-13:
9789813203617
Indbinding:
Paperback
ISBN-10:
9813203617
Udg. Dato:
14 sep 2010
Størrelse i cm:
Oplagsdato:
14 sep 2010

Ruin Probabilities

Engelsk
Paperback 2010
Format:

Bog beskrivelse

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.

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Specifikationer
Sprog:
Engelsk
Sider:
620
ISBN-13:
9789813203617
Indbinding:
Paperback
ISBN-10:
9813203617
Udg. Dato:
14 sep 2010
Størrelse i cm:
Oplagsdato:
14 sep 2010
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