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Aspects of Risk Theory

  • Book
  • © 1991

Overview

Authors:
  1. Jan Grandell

    1. Department of Mathematics, The Royal Institute of Technology, Stockholm, Sweden

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Part of the book series: Springer Series in Statistics (SSS)

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-x
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  2. The classical risk model

    • Jan Grandell
    Pages 1-32

  3. Generalizations of the classical risk model

    • Jan Grandell
    Pages 33-56

  4. Renewal models

    • Jan Grandell
    Pages 57-76

  5. Cox models

    • Jan Grandell
    Pages 77-124

  6. Stationary models

    • Jan Grandell
    Pages 125-134

  7. Back Matter

    Pages 135-175
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Keywords

About this book

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.

Authors and Affiliations

  • Department of Mathematics, The Royal Institute of Technology, Stockholm, Sweden

    Jan Grandell

Bibliographic Information

  • Book Title: Aspects of Risk Theory

  • Authors: Jan Grandell

  • Series Title: Springer Series in Statistics

  • DOI: https://doi.org/10.1007/978-1-4613-9058-9

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag New York Inc. 1991

  • Softcover ISBN: 978-1-4613-9060-2Published: 12 October 2011

  • eBook ISBN: 978-1-4613-9058-9Published: 06 December 2012

  • Series ISSN: 0172-7397

  • Series E-ISSN: 2197-568X

  • Edition Number: 1

  • Number of Pages: X, 175

  • Topics: Statistics, general

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