Stochastic Simulation: Algorithms and Analysis
Søren Asmussen, Peter W. Glynn, Soren Asmussen, Peter W Glynn
Inbunden
829 kr
Del 2 - Advanced Series on Statistical Science & Applied Probability
Ruin Probabilities
Inbunden, Engelska, 2000
2 059 kr
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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.
Produktinformation
- Utgivningsdatum2000-07-26
- Mått157 x 235 x 26 mm
- Vikt725 g
- FormatInbunden
- SpråkEngelska
- SerieAdvanced Series on Statistical Science & Applied Probability
- Antal sidor400
- FörlagWorld Scientific Publishing Co Pte Ltd
- ISBN9789810222932
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