Ruin Probabilities
Book Details
Format
Hardback or Cased Book
ISBN-10
9810222939
ISBN-13
9789810222932
Publisher
World Scientific Publishing Co Pte Ltd
Imprint
World Scientific Publishing Co Pte Ltd
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jul 26th, 2000
Print length
398 Pages
Product Classification:
Probability & statisticsProbability and statistics
Ksh 18,900.00
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The text is a treatment of classical and modern ruin probability theory. Topics covered include Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (for example, for heavy-tailed claim size distributions), and finite horizon ruin probabilities.
The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (eg. 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 a computational vehicle and the connection to other applied probability areas like queueing theory.
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