RUIN PROBABILITIES (V2)
| By: | Asmussen Soren |
| Publisher: | World Scientific Publishing |
| Print ISBN: | 9789810222932 |
| eText ISBN: | 9789812779311 |
| Edition: | 0 |
| Format: | Page Fidelity |
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The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (eg. 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 a computational vehicle and the connection to other applied probability areas like queueing theory.