Ruin Probabilities by Soren Asmussen (English) Hardcover Book

Description: Ruin Probabilities by Soren Asmussen, Hansjorg Albrecher Offers a comprehensive treatment of the classical and modern ruin probability theory. This title includes topics such as: Lundbergs inequality, the Cramer-Lundberg approximation, exact solutions, other approximations, finite horizon ruin probabilities, and extensions of the classical compound Poisson model to allow for reserve-dependent premiums. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundbergs 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. Table of Contents Introduction; Some General Tools and Results; The Compound Poisson Model; The Probability of Ruin within Finite Time; Renewal Arrivals; Risk Theory in a Markovian Environment; Premiums Depending on the Current Reserve; Matrix-Analytic Methods; Ruin Probabilities in the Presence of Heavy Tails; Simulation Methodology; Miscellaneous Topics; Stochastic Control; Gerber-Shiu Functions; Recent Developments in Monte Carlo Methods; Recent Developments in Fluctuation Theory for Levy Processes; Payment of Dividends; Tail Estimation; Dependent Risks; Level-Dependent Risk Processes. Review 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 teachers 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 "Journal of the American Statistical Association"This book is a must for anybody working in applied probability. It is a comprehensive treatment of the known results on ruin probabilities. -- Short Book Reviews "Short Book Reviews"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 "Mathematical Reviews"This is an excellent handbook on the risk theory and brilliant encyclopedia in ruin probabilities results. This book will be useful both for graduate students who deal with stochastic models in insurance mathematics, experts in risk processes and also for those specialists who apply the methods of risk theory in practice. -- Zentralblatt Maths "Zentralblatt Maths"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 "International Mathematical News"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 "Jahresbericht der DMV" Details ISBN9814282529 Author Hansjorg Albrecher Short Title RUIN PROBABILITIES Language English ISBN-10 9814282529 ISBN-13 9789814282529 Media Book Format Hardcover Year 2010 Edition 2nd Imprint World Scientific Publishing Co Pte Ltd Place of Publication Singapore Country of Publication Singapore DEWEY 519.2 Series Number 14 Illustrations black & white illustrations, diagrams Affiliation Aarhus Univ, Denmark Publication Date 2010-09-14 UK Release Date 2010-09-14 Pages 620 Publisher World Scientific Publishing Co Pte Ltd Edition Description Second Edition Series Advanced Series on Statistical Science & Applied Probability Audience Postgraduate, Research & Scholarly We've got this At The Nile, if you're looking for it, we've got it. 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