Articles liés à Ruin probabilities (2nd edition)

Ruin probabilities (2nd edition) - Couverture souple

Asmussen, Søren

 
9789814282529: Ruin probabilities (2nd edition)
Couverture souple
ISBN 10 : 9814282529 ISBN 13 : 9789814282529
Editeur : Wspc, 2010

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Revue de presse

"This book can be considered a comprehensive treatment of the classical - but, in particular, modern - probability theory and risk theory, in general. It is an excellent monograph dealing with models and methods that have in recent years achieved growing importance in applied probability."-- Mathematical Reviews

"This book stands out as it incorporates the current science and research of the last few years as well as presents the link between queuing theory and other areas of applied probability theory. This book exceeds the merits of a standard textbook and it furthermore has the character of an encyclopedia with an impressive compilation of references (923 in total) and comments at the end of each section. It will surely become a standard reference work in the realm of ruin theory in the future." -- Jahresbericht der DMV

"The book presents a valuable compendium, particularly in the area of current developments in the insurance industry, in order to respond to those developments with adequate risk control measures. The book is suitable for research purposes, teaching, self-learning as well as for practical application in insurance businesses." --International Mathematical News

"The book presents an excellent overview of different kinds of mathematical models of risk processes, mathematical tools to treat them, and the calculation of the corresponding ruin probabilities. It is a mathematical book, all presented results are proven sufficiently detailed. Motivations at the beginning of the chapters make it easier to understand the relevance of e.g. the model assumptions. Detailed notes and references at the end of the sections get the reader a wide look out to the relevant literature. A great number of examples illustrate the theoretical results. The book is a milestone in the landscape of applied probability theory and can be recommended to all persons interested in applied mathematics." -- Zentralblatt MATH

"This book is a must for anybody working in applied probability. It is a comprehensive treatment of the known results on ruin probabilities" -- Zentralblatt Maths

"This is a very valuable research monograph, dealing with an area that is mathematically attractive and of considerable relevance to insurance applications. I recommend the book to both experts and beginners in the field." -- Mathematical Reviews

"No other book covers such a vast area, at least none that is so up-to-date ... one can see that Ruin Probabilities is invaluable for researchers in risk theory and perhaps other fields in applied probability. The book can also be used as a textbook for a graduate-level course on ruin theory ... The teacher's task is made easy by the recommendation in the introduction on how to get started with the book, and then how to proceed in a second reading." --Journal of the American Statistical Association

Présentation de l'éditeur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Wspc
Date d'édition
2010
Langue
anglais
ISBN 10 
9814282529
ISBN 13 
9789814282529
Reliure
Broché
Numéro d'édition
2
Nombre de pages
620
Coordonnées du fabricant
non disponible
Personne responsable
GPSR Kontakt
gpsr@libri.de

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