Ruin probabilities
Auteur :
Asmussen, Søren
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789810222932
Date de publication :
26 juil. 2000
Langue :
Anglais
Pays d'origine :
Singapour
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.