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Ruin Probabilities
Engelsk Paperback
Ruin Probabilities
Engelsk Paperback

911 kr
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Om denne bog

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.

Product detaljer
Sprog:
Engelsk
Sider:
620
ISBN-13:
9789813203617
Indbinding:
Paperback
Udgave:
ISBN-10:
9813203617
Udg. Dato:
14 sep 2010
Længde:
0mm
Bredde:
0mm
Højde:
0mm
Forlag:
World Scientific Publishing Co Pte Ltd
Oplagsdato:
14 sep 2010
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