LEADER 03017nam 2200637 a 450 001 9910788569003321 005 20200520144314.0 010 $a1-283-14383-6 010 $a9786613143839 010 $a981-4282-53-7 035 $a(CKB)3360000000001326 035 $a(EBL)731122 035 $a(OCoLC)740444825 035 $a(SSID)ssj0000525460 035 $a(PQKBManifestationID)12204653 035 $a(PQKBTitleCode)TC0000525460 035 $a(PQKBWorkID)10508477 035 $a(PQKB)11344357 035 $a(MiAaPQ)EBC731122 035 $a(WSP)00007431 035 $a(Au-PeEL)EBL731122 035 $a(CaPaEBR)ebr10480047 035 $a(CaONFJC)MIL314383 035 $a(PPN)253548357 035 $a(EXLCZ)993360000000001326 100 $a20100619d2010 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aRuin probabilities$b[electronic resource] /$fSøren Asmussen, Hansjo?rg Albrecher 205 $a2nd ed. 210 $aSingapore ;$aHackensack, N.J. $cWorld Scientific$dc2010 215 $a1 online resource (500 p.) 225 1 $aAdvanced series on statistical science & applied probability ;$vv. 14 300 $aDescription based upon print version of record. 311 $a981-4282-52-9 320 $aIncludes bibliographical references and index. 327 $aIntroduction -- Martingales and simple ruin calculations -- Further general tools and results -- The compound Poisson model -- The probability of ruin within finite time -- Renewal arrivals -- Risk theory in a Markovian environment -- Level-dependent risk processes -- Matrix-analytic methods -- Ruin probabilities in the presence of heavy tails -- Ruin probabilities for Le?vy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics. 330 $aThe book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramer-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantia 410 0$aAdvanced series on statistical science & applied probability ;$vv. 14. 606 $aInsurance$xMathematics 606 $aRisk 615 0$aInsurance$xMathematics. 615 0$aRisk. 676 $a368/.01 700 $aAsmussen$b Søren$0381160 701 $aAlbrecher$b Hansjo?rg$0611748 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910788569003321 996 $aRuin probabilities$93751835 997 $aUNINA