Gerber-Shiu Risk Theory by Andreas E. KyprianouGerber-Shiu Risk Theory by Andreas E. Kyprianou

Gerber-Shiu Risk Theory

byAndreas E. Kyprianou

Paperback | October 16, 2013

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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 Theorycan be used as lecture notes and is suitable for a graduate course. Each chapter corresponds to approximately two hours of lectures.

Title:Gerber-Shiu Risk TheoryFormat:PaperbackDimensions:93 pagesPublished:October 16, 2013Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3319023020

ISBN - 13:9783319023021

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Table of Contents

Introduction.- 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.- References.

Editorial Reviews

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)