Ruin probabilities
著者
書誌事項
Ruin probabilities
（Advanced series on statistical science & applied probability, v. 14）
World Scientific, c2010
2nd ed
- : pbk
大学図書館所蔵 件 / 全1件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references (p. 549-596) and index
内容説明・目次
内容説明
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.
「Nielsen BookData」 より