GERBER-SHIU RISK THEORY by Andreas E. Kyprianou ( 9783319023021 )

Item Details

Title:

GERBER-SHIU RISK THEORY

By:

Format:

Paperback

List price:	£35.99
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ISBN 10:

3319023020

ISBN 13:

9783319023021

Publisher:

SPRINGER INTERNATIONAL PUBLISHING AG

Pub. date:

3 October, 2013

Edition:

2013 ed.

Series:

EAA Series

Pages:

Description:

Here is a modern review of the problem of ruin for the classical Cramer-Lundberg model and the surplus of an insurance company. Covers martingales and path decompositions for analysing distribution of the time of ruin, wealth prior to ruin and deficit at ruin.

Synopsis:

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.

Illustrations:

3 Illustrations, color; 4 Illustrations, black and white; VIII, 93 p. 7

Publication:

Switzerland

Imprint:

Springer International Publishing AG

Returns:

Returnable

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