Ruin Probabilities (Second Edition)

by Hansjörg Albrecher and Søren Asmussen

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram r-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,...

• Format: Hardcover
• Language: English
• ISBN: 9814282529
• ISBN13: 9789814282529
• Release Date: September 2010
• Publisher: World Scientific Publishing Company
• Length: 620 Pages
• Weight: 2.20 lbs.
• Dimensions: 1.1" x 6.1" x 9.0"