Mandjes / Boxma

The Cramér–Lundberg Model and Its Variants

A Queueing Perspective

Springer

ISBN 978-3-031-39104-0

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Bibliografische Daten

Fachbuch

Buch. Hardcover

2023

31 s/w-Abbildungen.

In englischer Sprache

Umfang: xi, 246 S.

Format (B x L): 15,5 x 23,5 cm

Gewicht: 559

Verlag: Springer

ISBN: 978-3-031-39104-0

Produktbeschreibung

This book offers a comprehensive examination of the Cramér–Lundberg model, which is the most extensively researched model in ruin theory. It covers the fundamental dynamics of an insurance company's surplus level in great detail, presenting a thorough analysis of the ruin probability and related measures for both the standard model and its variants.
Providing a systematic and self-contained approach to evaluate the crucial quantities found in the Cramér–Lundberg model, the book makes use of connections with related queueing models when appropriate, and its emphasis on clean transform-based techniques sets it apart from other works. In addition to consolidating a wealth of existing results, the book also derives several new outcomes using the same methodology.
This material is complemented by a thoughtfully chosen collection of exercises. The book's primary target audience is master's and starting PhD students in applied mathematics, operations research, and actuarial science, although it also serves as a useful methodological resource for more advanced researchers. The material is self-contained, requiring only a basic grounding in probability theory and some knowledge of transform techniques.

Autorinnen und Autoren

Kundeninformationen

Provides unified framework which systematically exploits the relation to queueing theory Emphasizes various variants of the classical Cramér–Lundberg setup with applications to insurance risk Includes carefully selected exercises to master the material

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