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Surplus Analysis of Sparre Andersen Insurance Risk Processes / by Gordon E. Willmot, Jae-Kyung Woo
(Springer Actuarial. ISSN:25233270)
版 | 1st ed. 2017. |
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出版者 | (Cham : Springer International Publishing : Imprint: Springer) |
出版年 | 2017 |
本文言語 | 英語 |
大きさ | VIII, 225 p. 3 illus : online resource |
著者標目 | *Willmot, Gordon E author Woo, Jae-Kyung author SpringerLink (Online service) |
件 名 | LCSH:Actuarial science LCSH:Statistics FREE:Actuarial Mathematics FREE:Statistical Theory and Methods |
一般注記 | 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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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9783319713625 |
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EB00227940 |
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データ種別 | 電子ブック |
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分 類 | LCC:HG8779-8793 DC23:368.01 |
書誌ID | 4000115596 |
ISBN | 9783319713625 |
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