Ruin Probabilities

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  • Ruin Probabilities Book Detail

  • Author : S?ren Asmussen
  • Release Date : 2010
  • Publisher : World Scientific
  • Genre : Mathematics
  • Pages : 621
  • ISBN 13 : 9814282529
  • File Size : 26,26 MB

Ruin Probabilities by S?ren Asmussen PDF Summary

Book Description: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram‚r?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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Ruin Probabilities

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The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram‚r?Lundberg

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To date, Mixed Poisson processes have been studied by scientists primarily interested in either insurance mathematics or point processes. Work in one area has o

Ruin Probabilities

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The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approx