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RUIN PROBABILITIES (2ND EDITION), VOL 14

RUIN PROBABILITIES (2ND EDITION), VOL 14

RUIN PROBABILITIES (2ND EDITION)

ASMUSSEN SOREN / Hansjorg Albrecher / SOREN ASMUSSEN / SOREN ASMUSSEN & HANSJORG ALBRECHER

104,24 €
IVA incluido
Disponible
Editorial:
World Scientific Publishing Co Pte Ltd
Año de edición:
2010
Materia
Probabilidad y estadística
ISBN:
9789813203617
104,24 €
IVA incluido
Disponible

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Sobre IBD

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.

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Otros libros del autor

  • RUIN PROBABILITIES (2ND EDITION), VOL 14
    ASMUSSEN SOREN / Hansjorg Albrecher / SOREN ASMUSSEN / SOREN ASMUSSEN & HANSJORG ALBRECHER
     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-depe...