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by Søren Asmussen

Download Ruin probabilities (2nd edition) (Advanced Series on Statistical Science & Applied Probability) fb2
Author: Søren Asmussen
ISBN: 9814282529
Language: English
Pages: 620 pages
Category: Mathematics
Publisher: Wspc; 2 edition (September 30, 2010)
Rating: 4.6
Formats: docx lrf txt lrf
FB2 size: 1558 kb | EPUB size: 1390 kb | DJVU size: 1905 kb
Sub: Math

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Ruin Probabilities (Advanced Series on Statistical Science and Applied Probability Series).

The teacher's task is made easy by the recommendation on the introduction on how to get started with the book, and then how to proceed in a second reading.

The book gives a comprehensive treatment of the classical and modern ruin probability theory. 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. Categories: Mathematics\Probability.

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Дата издания: 1. 9 The book gives a comprehensive treatment of the classical and modern ruin probability theory.

2010 Серия: Advanced Series On Statistical Science And Applied Probability Язык: ENG Размер: 2. 6 x 1. 4 x . 8 cm Основная тема: Mathematics, Probability Theory, Stochastic Processes Поставляется из: Англии Описание: The book gives a comprehensive treatment of the classical and modern ruin probability theory.

As an application of the first result we estimate the ruin probability, and for the second result we work explicit calculations for the case of exponential claims. Paolo Bussotti, Raffaele Pisano. 31005 5 062 Downloads 8 669 Views Citations.

Tell us if something is incorrect. Advanced Series on Statistical Science and Applied Probabili. We aim to show you accurate product information. Manufacturers, suppliers and others provide what you see here, and we have not verified it. See our disclaimer. 9789813203617 Ruin Probabilities. World Scientific Publishing Company.

Advanced series o. 001. oceedings{Asmussen2001RuinP, title {Ruin probabilities}, author {S{o}ren Asmussen}, booktitle {Advanced series on statistical science and applied probability}, year {2001} }. Søren Asmussen. View PDF. Save to Library.

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.