The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-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.
  • ISBN10 1283143836
  • ISBN13 9781283143837
  • Publish Date 1 January 2010 (first published 1 January 2000)
  • Publish Status Active
  • Out of Print 29 April 2015
  • Publish Country US
  • Imprint World Scientific Publishing Company
  • Edition Revised ed.
  • Format eBook
  • Pages 620
  • Language English