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Table Of Contents

Introduction
1.1 The Model
1.2 The Erlang Case
1.3 A Characterization of the Exponential Distribution
1.4 Remarks
The Claim Number Process
2.1 The Model
2.2 The Erlang Case
2.3 A Characterization of the Poisson Process
2.4 Remarks
The Claim Number Process as a Markov Process
3.1 The Model
3.2 A Characterization of Regularity
3.3 A Characterization of the Inhomogeneous Poisson Process
3.4 A Characterization of Homogeneity
3.5 A Characterization of the Poisson Process
3.6 A Claim Number Process with Contagion
3.7 Remarks
The Mixed Claim Number Process
4.1 The Model
4.2 The Mixed Poisson Process
4.3 The P´olya–Lundberg Process
4.4 Remarks
The Aggregate Claims Process
5.1 The Model
5.2 Compound Distributions
5.4 The Recursions of Panjer and DePril
5.5 Remarks
The Risk Process in Reinsurance
6.1 The Model
6.2 Thinning a Risk Process
6.3 Decomposition of a Poisson Risk Process
6.4 Superposition of Poisson Risk Processes
6.5 Remarks
The Reserve Process and the Ruin Problem
7.1 The Model
7.2 Kolmogorov’s Inequality for Positive Supermartingales
7.3 Lundberg’s Inequality
7.4 On the Existence of a Superadjustment Coefficient
7.5 Remarks
Appendix: Special Distributions
Auxiliary Notions
Measures
Generalities on Distributions
Discrete Distributions
Bibliography
List of Symbols
Author Index
Subject Index
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Lectures on Risk Theory

Lectures on Risk Theory

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Published by Park Sinchaisri

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Published by: Park Sinchaisri on Feb 19, 2012
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02/19/2012

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