Ruin Probabilities (2nd Edition)

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-m...