Author | Grandell, Jan. author |
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Title | Aspects of Risk Theory [electronic resource] / by Jan Grandell |
Imprint | New York, NY : Springer New York, 1991 |
Connect to | http://dx.doi.org/10.1007/978-1-4613-9058-9 |
Descript | X, 175p. 5 illus. online resource |
1 The classical risk model -- 1.1 Ruin probabilities for the classical risk process -- 1.2 โPracticalโ 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 -- 4.4 Markov renewal intensity -- 4.5 Markovian intensity -- 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