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Ruin Probabilities
Soren Asmussen
出版World Scientific, 2000-07-24
主題Mathematics / Probability & Statistics / GeneralMathematics / Applied
ISBN98145003219789814500326
URLhttp://books.google.com.hk/books?id=hebsCgAAQBAJ&hl=&source=gbs_api
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註釋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.