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Surplus Analysis of Sparre Andersen Insurance Risk Processes / by Gordon E. Willmot, Jae-Kyung Woo
(Springer Actuarial. ISSN:25233270)
Edition | 1st ed. 2017. |
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Publisher | (Cham : Springer International Publishing : Imprint: Springer) |
Year | 2017 |
Language | English |
Size | VIII, 225 p. 3 illus : online resource |
Authors | *Willmot, Gordon E author Woo, Jae-Kyung author SpringerLink (Online service) |
Subjects | LCSH:Actuarial science LCSH:Statistics FREE:Actuarial Mathematics FREE:Statistical Theory and Methods |
Notes | 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 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 HTTP:URL=https://doi.org/10.1007/978-3-319-71362-5 |
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E-Book | Location | Media type | Volume | Call No. | Status | Reserve | Comments | ISBN | Printed | Restriction | Designated Book | Barcode No. |
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E-Book | オンライン | 電子ブック |
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Springer eBooks | 9783319713625 |
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電子リソース |
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EB00227940 |
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Material Type | E-Book |
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Classification | LCC:HG8779-8793 DC23:368.01 |
ID | 4000115596 |
ISBN | 9783319713625 |
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