2: Ruin Probabilities (Advanced Series in Dynamical Systems)
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
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.