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Ruin Probabilities (2Nd Edition) (Advanced Series on Statistical Science & Applied Probability, Band 14) - Softcover

Asmussen, Soren; Albrecher, Hansjorg

 
9789813203617: Ruin Probabilities (2Nd Edition) (Advanced Series on Statistical Science & Applied Probability, Band 14)
Softcover
ISBN 10: 9813203617 ISBN 13: 9789813203617
Verlag: Wspc, 2010

Inhaltsangabe

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.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Wspc
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
9813203617
ISBN 13 
9789813203617
Einband
Taschenbuch
Auflage
2
Anzahl der Seiten
622
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

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Osnabrück
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Deutschland