Ruin probabilities (2nd edition): Second Edition: 14 (Advanced Series on Statistical Science & Applied Probability) - Image 1

£97.99

World Scientific Publishing Company Ruin probabilities (2nd edition): Second Edition: 14 (Advanced Series on Statistical Science & Applied Probability)

Name: Ruin probabilities (2nd edition): Second Edition: 14 (Advanced Series on Statistical Science & Applied Probability)
Brand: World Scientific Publishing Company
Price: 97.99 GBP
Availability: InStock

Applied Mathematics

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Description

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-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.

Product Specifications

Brand: World Scientific Publishing Company
Format: paperback
ASIN: 9814282529
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Applied Mathematics
Domain: Amazon UK
Release Date: 09 September 2010
Listed Since: 08 June 2009

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World Scientific Publishing Company Ruin probabilities (2nd edition): Second Edition: 14 (Advanced Series on Statistical Science & Applied Probability)

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