Ruin Probabilities (Statistical Science and Applied Probability)

Ruin Probabilities (Statistical Science and Applied Probability) pdf epub mobi txt 电子书 下载 2025

出版者:World Scientific Publishing Company
作者:Soren Asmussen
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页数:500
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出版时间:2010-03-31
价格:USD 98.00
装帧:Hardcover
isbn号码:9789814282529
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The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-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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