Level-Crossing Problems and Inverse Gaussian Distributions: Closed-Form Results and Approximations

Malinovskii, Vsevolod K.

Level-Crossing Problems and Inverse Gaussian Distributions: Closed-Form Results and Approximations
  • 出版商: CRC
  • 出版日期: 2021-07-27
  • 售價: $7,550
  • 貴賓價: 9.5 折 $7,173
  • 語言: 英文
  • 頁數: 452
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 036774029X
  • ISBN-13: 9780367740290

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商品描述

Level-Crossing Problems and Inverse Gaussian Distributions: Closed-Form Results and Approximations focusses on the inverse Gaussian approximation for the distribution of the first level-crossing time in a shifted compound renewal process framework. This approximation, whose name was coined by the author, is a successful competitor of the normal (or Cramér's), diffusion, and Teugels' approximations, being a breakthrough in its conditions and accuracy.

Since such approximations underlie numerous applications in risk theory, queueing theory, reliability theory, and mathematical theory of dams and inventories, this book is of interest not only to professional mathematicians, but also to physicists, engineers, and economists.

People from industry with a theoretical background in level-crossing problems, e.g., from the insurance industry, can also benefit from reading this book.

Features:

  • Primarily aimed at researchers and postgraduates, but may be of interest to some professionals working in related fields, such as the insurance industry

  • Suitable for advanced courses in Applied Probability and, as a supplementary reading, for basic courses in Applied Probability

作者簡介

Vsevolod K. Malinovskii graduated from the Moscow State University, earned his Ph.D. in Mathematics from the Steklov Mathematical Institute in 1983, and his D.Sc. in Mathematics from the Central conomics and Mathematics Institute (CEMI) of the Russian Academy of Science in 2000. He joined Probability Theory's Department of Steklov Mathematical Institute in 1982 and worked there until 2006. Since 2009, he has been a Chief research fellow at the CEMI.
He was Visiting Professor at the University of Copenhagen in 1993 and in 1998, and at the University of Montreal in 2001. He has authored Insurance Planning Models: Price Competition and Regulation of Financial Stability and Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models.
Professor Malinovskii's main research interests are in Applied Probability and in Mathematical Statistics.

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