
Ruin Probabilities
World Scientific Publishing Co Pte Ltd
Published on 14. September 2010
Book
Hardback
620 pages
978-981-4282-52-9 (ISBN)
Description
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-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.
More details
Series
Edition
Second Edition
Language
English
Place of publication
Singapore
Singapore
Target group
College/higher education
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 38 mm
Weight
1039 gr
ISBN-13
978-981-4282-52-9 (9789814282529)
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Schweitzer Classification
Persons
Content
Introduction; Some General Tools and Results; The Compound Poisson Model; The Probability of Ruin within Finite Time; Renewal Arrivals; Risk Theory in a Markovian Environment; Premiums Depending on the Current Reserve; Matrix-Analytic Methods; Ruin Probabilities in the Presence of Heavy Tails; Simulation Methodology; Miscellaneous Topics; Stochastic Control; Gerber-Shiu Functions; Recent Developments in Monte Carlo Methods; Recent Developments in Fluctuation Theory for Levy Processes; Payment of Dividends; Tail Estimation; Dependent Risks; Level-Dependent Risk Processes.