Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Ruin Probabilities (2nd Edition), Vol 14

Ruin Probabilities (2nd Edition), Vol 14

Asmussen Soren

Paperback

Series: Advanced Statistical Science and Applied Probability, Book 14

Business GeneralGeneral MathematicsProbability & Statistics

ISBN10: 9813203617
ISBN13: 9789813203617
Publisher: World Scientific Publishing Company
Published: Sep 24 2010
Pages: 620
Weight: 1.81
Height: 1.25 Width: 6.00 Depth: 9.00
Language: English

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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