Ruin probabilities / Søren Asmussen, Hansjörg Albrecher.

Format:

Book

Author/Creator:

Asmussen, Søren.

Contributor:

Albrecher, Hansjörg.

Series:

Advanced series on statistical science & applied probability ; v. 14.

Advanced series on statistical science & applied probability ; v. 14

Language:

English

Subjects (All):

Insurance--Mathematics.

Insurance.

Risk.

Physical Description:

1 online resource (500 p.)

Edition:

2nd ed.

Place of Publication:

Singapore ; Hackensack, N.J. : World Scientific, c2010.

Language Note:

English

Summary:

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 substantia

Contents:

Introduction

Martingales and simple ruin calculations

Further general tools and results

The compound Poisson model

The probability of ruin within finite time

Renewal arrivals

Risk theory in a Markovian environment

Level-dependent risk processes

Matrix-analytic methods

Ruin probabilities in the presence of heavy tails

Ruin probabilities for Lévy processes

Gerber-Shiu functions

Further models with dependency

Stochastic control

Simulation methodology

Miscellaneous topics.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786613143839

9781283143837

1283143836

9789814282536

9814282537

OCLC:

740444825