Surplus analysis of Sparre Andersen insurance risk processes

DOI10.1007/978-3-319-71362-5zbMath1391.91006OpenAlexW2778796994MaRDI QIDQ680027

Gordon E. Willmot, Jae-Kyung Woo

Publication date: 22 January 2018

Published in: Springer Actuarial (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-71362-5

zbMATH Keywords

insurancerenewal risk modelrenewal equationsruin probabilitiesPoisson risk modelGerber-Shiu analysisSparre-Andersen risk processsurplus analysis

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (13)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ Remarks on a generalized inverse Gaussian type integral with applications ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ On the distribution of classic and some exotic ruin times ⋮ Intrinsic objective Bayesian estimation of the mean of the Tweedie family ⋮ On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ Ruin-based risk measures in discrete-time risk models ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion ⋮ Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes

This page was built for publication: Surplus analysis of Sparre Andersen insurance risk processes