Asymptotic statistics in insurance risk theory / Yasutaka Shimizu.
Shimizu, Yasutaka, author.
2021
HG8054.5 .S55 2021
Available Online

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Title Asymptotic statistics in insurance risk theory / Yasutaka Shimizu.
Author Shimizu, Yasutaka, author.
ISBN 9789811692840 (electronic bk.)
981169284X (electronic bk.)
9789811692857
9811692858
9789811692833
9811692831
DOI https://doi.org/10.1007/978-981-16-9284-0
Published Singapore : Springer, [2021]
Copyright ©2021
Language English
Description 1 online resource.
Other Standard Identifiers 10.1007/978-981-16-9284-0 doi
Call Number HG8054.5 .S55 2021
Dewey Decimal Classification 368/.01
Summary This book begins with the fundamental large sample theory, estimating ruin probability, and ends by dealing with the latest issues of estimating the Gerber-Shiu function. This book is the first to introduce the recent development of statistical methodologies in risk theory (ruin theory) as well as their mathematical validities. Asymptotic theory of parametric and nonparametric inference for the ruin-related quantities is discussed under the setting of not only classical compound Poisson risk processes (Cramér-Lundberg model) but also more general Lévy insurance risk processes. The recent development of risk theory can deal with many kinds of ruin-related quantities: the probability of ruin as well as Gerber-Shiu's discounted penalty function, both of which are useful in insurance risk management and in financial credit risk analysis. In those areas, the common stochastic models are used in the context of the structural approach of companies' default. So far, the probabilistic point of view has been the main concern for academic researchers. However, this book emphasizes the statistical point of view because identifying the risk model is always necessary and is crucial in the final step of practical risk management.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed February 1, 2022).
Series SpringerBriefs in statistics. JSS research series in statistics. 2364-0065
Available in Other Form Print version: 9789811692833
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1. Introduction to ruin theory
2. Lþevy insurance risk models
3. Foundations of Statistical Inference
4. Inference for Ruin Probability
5 Inferenece for Gerber-Shiu functions.

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