Ruin probabilities /

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Bibliographic Details
Author / Creator:	Asmussen, Søren.
Edition:	2nd ed.
Imprint:	Singapore ; Hackensack, NJ : World Scientific, ©2010.
Description:	1 online resource (xvii, 602 pages) : illustrations
Language:	English
Series:	Advanced series on statistical science & applied probability ; v. 14 Advanced series on statistical science & applied probability ; v. 14.
Subject:	Insurance -- Mathematics. Risk. Insurance -- Mathematics. Risk. Electronic book.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11258686

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Other authors / contributors:	Albrecher, Hansjörg.
ISBN:	9789814282536 9814282537 9789814282529 9814282529
Notes:	Includes bibliographical references and index. Print version record.
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 substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber-Shiu functions and dependence.
Other form:	Print version: Asmussen, Søren. Ruin probabilities. 2nd ed. Singapore ; Hackensack, NJ : World Scientific, ©2010 9789814282529

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