A01=Hansjorg Albrecher
A01=Soren Asmussen
Author_Hansjorg Albrecher
Author_Soren Asmussen
Category=PBT
Compound Poisson Process
Dependent Risks
Diffusion Approximations
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Gerber-Shiu Functions
Heavy Tails
Laplace Transforms
Large Deviations
Lundberg Conjugation
Markov Additive Processes
Martingales
Payment of Dividends
Pollaczeck-Khinchin Formula
Random Walks
Reinsurance
Renewal Arrivals
Risk Processes
Risk Theory in a Markovian Environment
Ruin Probabilities
Simulation Methodology
Product details
- ISBN 9789813203617
- Publication Date: 14 Sep 2010
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Paperback
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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.
