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RUIN PROBABILITIES (V2)

RUIN PROBABILITIES (V2)

ASMUSSEN SOREN / SOREN ASMUSSEN

134,00 €
IVA incluido
Consulta disponibilidad
Editorial:
World Scientific Publishing Co Pte Ltd
Año de edición:
2000
Materia
Probabilidad y estadística
ISBN:
9789810222932

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Sobre IBD

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