Description

Book Synopsis
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-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.

Table of Contents
Introduction; Some General Tools and Results; The Compound Poisson Model; The Probability of Ruin within Finite Time; Renewal Arrivals; Risk Theory in a Markovian Environment; Premiums Depending on the Current Reserve; Matrix-Analytic Methods; Ruin Probabilities in the Presence of Heavy Tails; Simulation Methodology; Miscellaneous Topics; Stochastic Control; Gerber-Shiu Functions; Recent Developments in Monte Carlo Methods; Recent Developments in Fluctuation Theory for Levy Processes; Payment of Dividends; Tail Estimation; Dependent Risks; Level-Dependent Risk Processes.

Ruin Probabilities

    Product form

    A Hardback by Soren Asmussen, Hansjorg Albrecher

    £175.50

    Includes FREE delivery

    RRP £195.00 – you save £19.50 (10%)

    Order before 4pm tomorrow for delivery by Fri 6 Nov 2026.

    Out of stock

      Trusted by thousands of customers. See 2,385+ Customer Reviews

      View other formats and editions of Ruin Probabilities by Soren Asmussen

      Book details

      Publisher World Scientific Publishing Co Pte Ltd
      Published 14 September 2010
      ISBN-13 9789814282529
      978-9814282529
      ISBN-10 9814282529
      Also in:
      Probability and statistics

      Description

      Book Synopsis
      The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-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.

      Table of Contents
      Introduction; Some General Tools and Results; The Compound Poisson Model; The Probability of Ruin within Finite Time; Renewal Arrivals; Risk Theory in a Markovian Environment; Premiums Depending on the Current Reserve; Matrix-Analytic Methods; Ruin Probabilities in the Presence of Heavy Tails; Simulation Methodology; Miscellaneous Topics; Stochastic Control; Gerber-Shiu Functions; Recent Developments in Monte Carlo Methods; Recent Developments in Fluctuation Theory for Levy Processes; Payment of Dividends; Tail Estimation; Dependent Risks; Level-Dependent Risk Processes.

      Recently viewed products

      © 2026 Book Curl

        • American Express
        • Apple Pay
        • Diners Club
        • Discover
        • Google Pay
        • Maestro
        • Mastercard
        • PayPal
        • Shop Pay
        • Union Pay
        • Visa

        Login

        Forgot your password?

        Don't have an account yet?
        Create account