Ruin probabilities
著者
書誌事項
Ruin probabilities
（Advanced series on statistical science & applied probability, vol. 2）
World Scientific, c2000
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注記
Bibliography: p. 363-382
Includes index
Reprinted (2nd printing : xi, 385 p.) with minor corrections, 2001
内容説明・目次
内容説明
The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (eg. 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 or periodicity. Special features of the book are the emphasis on change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas like queueing theory.
目次
- Some general tools and results
- the compound Poisson model
- premiums depending on the current reserve
- the probability of ruin within finite time
- renewal arrivals
- risk theory in a Markovian environment
- risk theory in a periodic environment
- simulation methodology
- miscellaneous topics. Appendices: phase-type distributions
- selected background material.
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