Ruin Probabilities

By Soren Asmussen

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

• Format: Hardcover
• Language: English
• ISBN: 9810222939
• ISBN13: 9789810222932
• Release Date: July 2000
• Publisher: World Scientific Publishing Company
• Length: 400 Pages
• Weight: 1.54 lbs.
• Dimensions: 0.9" x 6.0" x 9.0"