A broad treatment of ruin probability theory
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A broad treatment of ruin probability theory
This second edition surveys classical and modern approaches to ruin probabilities, from Lundberg’s inequality and the Cramér–Lundberg approximation to exact solutions and methods for heavy-tailed claim-size distributions. Its scope extends beyond the classical compound Poisson model, covering reserve-dependent premiums, Markov modulation and finite-horizon probabilities. The expanded edition also adds stochastic control, Lévy-process fluctuation theory, Gerber–Shiu functions and dependence. Computational methods using phase-type distributions and links with queueing theory connect the subject to wider areas of applied probability.
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The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram
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