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nexusstc/Ruin Probabilities (Advanced Series on Statistical Science and Applied Probability Series)/4f6e7d6a9da3c3b69108d383e218ef75.pdf
Ruin Probabilities (Advanced Series on Statistical Science and Applied Probability Series) 🔍
Søren Asmussen World Scientific Pub Co Inc, World Scientific Publishing Company, River Edge, NJ, 2000
英语 [en] · PDF · 13.1MB · 2000 · 📘 非小说类图书 · 🚀/lgli/lgrs/nexusstc/zlib · Save
描述
The text is a treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (for example, 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 computational vehicle and the connection to other applied probability areas like queueing theory.
备用文件名
lgli/_391938.4f6e7d6a9da3c3b69108d383e218ef75.pdf
备用文件名
lgrsnf/_391938.4f6e7d6a9da3c3b69108d383e218ef75.pdf
备用文件名
zlib/Mathematics/Søren Asmussen/Ruin Probabilities (Advanced Series on Statistical Science and Applied Probability Series)_1100895.pdf
备选标题
Ruin Probability (Statistical Science and Applied Probability Series)
备选作者
Asmussen, Soren
备选作者
Soren Asmussen
备用出版商
World Scientific Publishing Co Pte Ltd
备用出版商
World Scientific Publishing Company
备用版本
Advanced Series on Statistical Science & Applied Probability, 2nd print. corr, Singapore, 2001
备用版本
Advanced series on statistical science & applied probability, vol. 2, River Edge, NJ, 2000
备用版本
Singapore, Singapore
备用版本
September 2000
元数据中的注释
до 2011-08
元数据中的注释
lg661942
元数据中的注释
{"isbns":["9789810222932","9810222939"],"last_page":399,"publisher":"World Scientific Pub Co Inc"}
备用描述
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.
备用描述
The text is a treatment of classical and modern ruin probability theory. Topics covered include Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (for example, for heavy-tailed claim size distributions), and finite horizon ruin probabilities.
备用描述
Note that it is a matter of taste (or mathematical convenience) whether one allows {Rt} and/or {St} to continue its evolution after the time (u) of ruin.
开源日期
2011-08-31
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