Cramér–Lundberg Model and Its Variants

Michel Mandjes is a full professor at the Mathematical Institute of Leiden University, with a part-time appointment at the Korteweg-de Vries Institute for Mathematics of the University of Amsterdam. His previous employers include KPN Research, Bell Laboratories, the University of Twente, and CWI. His research focuses on stochastic processes and their applications in actuarial sciences and operations research.Onno Boxma is Professor of Stochastic Operations Research in the Department of Mathematics and Computer Science of Eindhoven University of Technology. His main research interests are in queueing theory and its applications to the performance analysis of computer-, communication-, production- and traffic systems, and in insurance risk.

• - 1. Cramér-Lundberg Model. - 2. Asymptotics. - 3. Regime Switching. - 4. Interest and Two-Sided Jumps. - 5. Threshold-Based Net Cumulative Claim Process. - 6. Level-Dependent Dynamics. - 7. Multivariate Ruin. - 8. Arrival Processes with Clustering. - 9. Dependence Between Claim Sizes and Interarrival Times. - 10. Advanced Bankruptcy Concepts.