Asymptotic Statistics in Insurance Risk Theory

Name: Asymptotic Statistics in Insurance Risk Theory
Brand: Springer Nature
SKU: 9789811692833
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Asymptotic Statistics in Insurance Risk Theory

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Springer Nature

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9789811692833

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This book begins with the fundamental large sample theory, estimating ruin probability, and ends by dealing with the latest issues of estimating the GerberShiu function. This book is the first to introduce the recent development of statistical methodologies in risk theory (ruin theory) as well as their mathematical validities. Asymptotic theory of parametric and nonparametric inference for the ruin-related quantities is discussed under the setting of not only classical compound Poisson risk processes (CramrLundberg model) but also more general Lvy insurance risk processes. The recent development of risk theory can deal with many kinds of ruin-related quantities: the probability of ruin as well as GerberShius discounted penalty function, both of which are useful in insurance risk management and in financial credit risk analysis. In those areas, the common stochastic models are used in the context of the structural approach of companies default. So far, the probabilistic point of view has been the main concern for academic researchers. However, this book emphasizes the statistical point of view because identifying the risk model is always necessary and is crucial in the final step of practical risk management.

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