Gerber–Shiu Risk Theory
Buch in deiner Nähe kaufen
Beschreibung
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 Cramér–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.
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 Cramér–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.
Provides a self-contained and easy-to-read introduction to classical ruin theory Includes recent developments in exotic ruin theory Makes transparent the connection with the theory of spectrally negative Lévy processes Includes supplementary material: sn.pub/extras
Autor*in
Andreas E. Kyprianou
Themen in »Gerber–Shiu Risk Theory«
Cramér–Lundberg Processes Gerber-Shiu Function Lévy Processes Ruin Theory
Stimmen zu »Gerber–Shiu Risk Theory«
From the book reviews:
“The book under review gives a modern perspective on the problems in ruin theory in the framework of the classical Cramér-Lundberg risk model. … This compact book combines rigorous mathematical treatments with discussions and contains a comprehensive bibliography on the related topics at the end of each chapter. … this book is well written and can serve as a major reference book for researchers and graduate students in ruin theory and related areas.” (Shuanming Li, Mathematical Reviews, January, 2015)
()