Ruin Probabilities (Advanced Series on Statistical Science and Applied Probability Series)
Søren Asmussen
The text is a treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (for example, 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 or periodicity. Special features of the book are the emphasis on change of measure techniques, phase-type distributions as computational vehicle and the connection to other applied probability areas like queueing theory.
种类:
年:
2000
出版社:
World Scientific Pub Co Inc
语言:
english
页:
399
ISBN 13:
9789810222932
文件:
PDF, 12.47 MB
IPFS:
,
english, 2000