Ruin Probabilities (Advanced Series on Statistical Science and Applied Probability Series)

✍ Scribed by Søren Asmussen

Publisher: World Scientific Pub Co Inc
Year: 2000
Tongue: English
Leaves: 399
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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.

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