Details
Ruin Probabilities
Advanced Series On Statistical Science And Applied Probability
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238,00 € |
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| Verlag: | World Scientific Publishing |
| Format: | |
| Veröffentl.: | 24.07.2000 |
| ISBN/EAN: | 9789812779311 |
| Sprache: | englisch |
| Anzahl Seiten: | 400 |
DRM-geschütztes eBook, Sie benötigen z.B. Adobe Digital Editions und eine Adobe ID zum Lesen.
Beschreibungen
The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-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.
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