Ruin Probabilities - Advanced Series on Statistical Science & Applied Probability
Ruin Probabilities - Advanced Series on Statistical Science & Applied Probability
hardback
Published:
14 September, 2010
hardback
Published:
14 September, 2010
Standard worldwide delivery by
Mon, July 20 - Thu, July 23
Order within
0
Condition:
NEW
$250.08
RRP
$261.37
You save $11.29 (4%)
Available
20
in stock
FREE Returns within 30 days
Popular Books by Soren Asmussen
View All Books by Soren Asmussen
Description
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.
More Details
| Type | Book |
|---|---|
| ISBN13 | 9789814282529 |
| ISBN10 | 9814282529 |
| Number Of Pages | 620 |
| Item Weight | 1000 g |
| Publisher / Reseller | World Scientific Publishing Co Pte Ltd |
| Format | hardback |
| Edition | Second Edition |
See More +