Surplus analysis of Sparre Andersen insurance risk processes / Gordon E. Willmot, Jae-Kyung Woo.
2017
HG8054.5
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Title
Surplus analysis of Sparre Andersen insurance risk processes / Gordon E. Willmot, Jae-Kyung Woo.
ISBN
9783319713625 (electronic book)
3319713620 (electronic book)
9783319713618
3319713612
9783319713618
3319713620 (electronic book)
9783319713618
3319713612
9783319713618
Published
Cham : Springer, [2017]
Copyright
©2017
Language
English
Description
1 online resource.
Item Number
10.1007/978-3-319-71362-5 doi
Call Number
HG8054.5
Dewey Decimal Classification
368/.01
Summary
This carefully written monograph covers the Sparre Andersen process in an actuarial context using the renewal process as the model for claim counts. A unified reference on Sparre Andersen (renewal risk) processes is included, often missing from existing literature. The authors explore recent results and analyse various risk theoretic quantities associated with the event of ruin, including the time of ruin and the deficit of ruin. Particular attention is given to the explicit identification of defective renewal equation components, which are needed to analyse various risk theoretic quantities and are also relevant in other subject areas of applied probability such as dams and storage processes, as well as queuing theory. Aimed at researchers interested in risk/ruin theory and related areas, this work will also appeal to graduate students in classical and modern risk theory and Gerber-Shiu analysis.
Bibliography, etc. Note
Includes bibliographical references and index.
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Access limited to authorized users.
Digital File Characteristics
text file PDF
Source of Description
Online resource; title from PDF title page (viewed January 8, 2018).
Added Author
Woo, Jae-Kyung, author.
Series
Springer actuarial.
Available in Other Form
Surplus Analysis of Sparre Andersen Insurance Risk Processes.
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Table of Contents
1 Introduction
2 Technical Preparation
3 Gerber-Shiu Analysis in the Classical Poisson Risk Model
4 Gerber-Shiu Analysis in the Dependent Sparre Andersen Model
5 Models Involving Erlang Components
6 The Time of Ruin in the Classical Poisson Risk Model
7 Related Risk Models
8 Other Topics
References
Index.
2 Technical Preparation
3 Gerber-Shiu Analysis in the Classical Poisson Risk Model
4 Gerber-Shiu Analysis in the Dependent Sparre Andersen Model
5 Models Involving Erlang Components
6 The Time of Ruin in the Classical Poisson Risk Model
7 Related Risk Models
8 Other Topics
References
Index.