Ruin Probabilities (Second Edition) di Albrecher Hansjorg edito da World Scientific
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Ruin Probabilities (Second Edition)

Second Edition

EAN:

9789814282529

ISBN:

9814282529

Pagine:
620
Formato:
Hardback
Lingua:
Inglese
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Descrizione Ruin Probabilities (Second Edition)

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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