Surplus analysis of Sparre Andersen insurance risk processes

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

insurance; renewal risk model; renewal equations; ruin probabilities; Poisson risk model; Gerber-Shiu analysis; Sparre-Andersen risk process; surplus analysis

Mathematics Subject Classification ID

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60K05: Renewal theory