Asymptotic Statistics in Insurance Risk Theory
Yasutaka Shimizu
Broschiertes Buch

Asymptotic Statistics in Insurance Risk Theory

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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 Gerber-Shiu 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 (Cramér-Lundberg model) but also more general Lévy insurance risk processes.The recent deve...