Risk Theory Focus

The focus of this book is on the two major areas of risk theory: aggregate claims distributions and ruin theory. For aggregate claims distributions, detailed descriptions are given of recursive techniques that can be used in the individual and collective risk models.

Collective Model

For the collective model, the book discusses different classes of counting distribution, and presents recursion schemes for probability functions and moments.

Individual Model

For the individual model, the book illustrates the three most commonly applied techniques.

Ruin Theory and New Edition Features

Beyond the classical topics in ruin theory, this new edition features an expanded section covering time of ruin problems, Gerber–Shiu functions, and the application of De Vylder approximations.

Audience and Content

Suitable for a first course in insurance risk theory and extensively classroom tested, the book is accessible to readers with a solid understanding of basic probability. Numerous worked examples are included and each chapter concludes with exercises for which complete solutions are provided.