A broad treatment of ruin probability theory
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A broad treatment of ruin probability theory
Spanning classical results and newer developments, this applied mathematics volume organizes ruin theory around models, approximations, and computational methods. Its coverage includes finite-horizon probabilities, heavy-tailed claim sizes, reserve-dependent premiums, and Markov-modulated models. The second edition adds topics such as stochastic control, fluctuation theory for Lévy processes, Gerber–Shiu functions, and dependence. Connections with queueing theory place ruin probabilities within a wider applied probability context, while phase-type distributions are presented as a computational tool.
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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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