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Ruin probabilities /
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabiliti...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; Hackensack, NJ :
World Scientific,
©2010.
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| Edición: | 2nd ed. |
| Colección: | Advanced series on statistical science & applied probability ;
v. 14. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-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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| Descripción Física: | 1 online resource (xvii, 602 pages) : illustrations |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9789814282536 9814282537 |