2: Ruin Probabilities (Advanced Series in Dynamical Systems)

**Author:**-

**Title:**2: Ruin Probabilities (Advanced Series in Dynamical Systems)

**ISBN10:**9810222939

**ISBN13:**978-9810222932

**Format:**.PDF .EPUB .FB2

**Pages:**385 pages

**Publisher:**World Scientific Publishing Company (November 30, 2000)

**Language:**English

**Size pdf:**1352 kb

**Size epub:**1763 kb

**Rating:**4.2 ✪

**Votes:**278

**Category:**Science & Math

**Subcategory:**Mathematics

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The text is a treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (for example, 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 computational vehicle and the connection to other applied probability areas like queueing theory.