Aspects of Risk Theory
Published on 3. September 1992
Book
Hardback
X, 175 pages
978-0-387-97368-5 (ISBN)
Description
Risk theory, which deals with stochastic models of an insurance business, is a classical application of probability theory. The fundamental problem in risk theory is to investigate the ruin possibility of the risk business. Traditionally the occurrence of the claims is described by a Poisson process and the cost of the claims by a sequence of random variables. This book is a treatise of risk theory with emphasis on models where the occurrence of the claims is described by more general point processes than the Poisson process, such as renewal processes, Cox processes and general stationary point processes. In the Cox case the possibility of risk fluctuation is explicitly taken into account. The presentation is based on modern probabilistic methods rather than on analytic methods. The theory is accompanied with discussions on practical evaluation of ruin probabilities and statistical estimation. Many numerical illustrations of the results are given.
More details
Series
Edition
1st ed. 1991. Corr. 2nd printing
Language
English
Place of publication
NY
United States
Target group
College/higher education
Illustrations
biography
Dimensions
Height: 248 mm
Width: 165 mm
Weight
510 gr
ISBN-13
978-0-387-97368-5 (9780387973685)
DOI
10.1007/978-1-4613-9058-9
Schweitzer Classification
Other editions
Additional editions
Content
1 The classical risk model.- 1.1 Ruin probabilities for the classical risk process.- 1.2 "Practical" evaluation of ruin probabilities.- 1.3 Inference for the risk process.- 2 Generalizations of the classical risk model.- 2.1 Models allowing for size fluctuation.- 2.2 Models allowing for risk fluctuation.- 3 Renewal models.- 3.1 Ordinary renewal models.- 3.2 Stationary renewal models.- 3.3 Numerical illustrations.- 4 Cox models.- 4.1 Markovian intensity: Preliminaries.- 4.2 The martingale approach.- 4.3 Independent jump intensity.- 4.3.1 An inbedded random walk.- 4.3.2 Ordinary independent jump intensity.- 4.3.3 Stationary independent jump intensity.- 4.4 Markov renewal intensity.- 4.5 Markovian intensity.- 4.5.1 Application of the basic approach.- 4.5.2 An alternative approach.- 4.6 Numerical illustrations.- 5 Stationary models.- Appendix. Finite time ruin probabilities.- A.1 The classical model.- A.2 Renewal models.- A.3 Cox models.- A.4 Diffusion approximations.- References and author index.- Inserted surveys.- Basic martingale theory.- Basic facts about weak convergence.- Point processes and martingales.- Point processes and random measures.- Basic definitions.- Superposition of point processes.- Thinning of point processes.- Basic Markov process theory.- Stationary point processes.