Ruin probabilities (2nd edition) by Søren Asmussen

Ruin probabilities (2nd edition) by Søren Asmussen

By: Asmussen Soren

Publisher: World Scientific

Print ISBN: 9789814282529, 9814282529

eText ISBN: 9789814282536, 9814282537

Edition: 2nd

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.