Gerber-Shiu risk theory Andreas E. Kyprianou

Format:

Book

Author/Creator:

Kyprianou, Andreas E., author.

Series:

EAA Series 1869-6929

EAA series 1869-6929

Language:

English

Subjects (All):

Risk (Insurance)--Mathematical models.

Risk (Insurance).

Physical Description:

1 online resource

Place of Publication:

Cham Springer 2013

Language Note:

English

System Details:

text file

PDF

Summary:

Motivated by the many and long-standing contributions of H. Gerber and E. Shiu, this book gives a modern perspective on the problem of ruin for the classical Cramer-Lundberg model and the surplus of an insurance company. The book studies martingales and path decompositions, which are the main tools used in analysing the distribution of the time of ruin, the wealth prior to ruin and the deficit at ruin. Recent developments in exotic ruin theory are also considered. In particular, by making dividend or tax payments out of the surplus process, the effect on ruin is explored. Gerber-Shiu Risk Theory can be used as lecture notes and is suitable for a graduate course. Each chapter corresponds to approximately two hours of lectures

Contents:

The Wald martingale and the maximum The Kella-Whitt martingale and the minimum Scale functions and ruin probabilities The Gerber-Shiu measure Reflection strategies Perturbation-at-maximum strategies Refraction strategies Concluding discussion

Notes:

Includes bibliographical references

Online resource; title from PDF title page (SpringerLink, viewed October 7, 2013)

Other Format:

Print version Kyprianou, Andreas E. Gerber-Shiu risk theory.

ISBN:

9783319023038

3319023039

9783319023045

3319023047

OCLC:

861966675

Access Restriction:

Restricted for use by site license