Surplus Analysis of Sparre Andersen Insurance Risk Processes

Business & Finance, Industries & Professions, Insurance, Nonfiction, Science & Nature, Mathematics, Statistics
Cover of the book Surplus Analysis of Sparre Andersen Insurance Risk Processes by Gordon E. Willmot, Jae-Kyung Woo, Springer International Publishing
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Author: Gordon E. Willmot, Jae-Kyung Woo ISBN: 9783319713625
Publisher: Springer International Publishing Publication: December 21, 2017
Imprint: Springer Language: English
Author: Gordon E. Willmot, Jae-Kyung Woo
ISBN: 9783319713625
Publisher: Springer International Publishing
Publication: December 21, 2017
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

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