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Gerber-Shiu risk theory

Author: Andreas E Kyprianou
Publisher: Cham : Springer, 2013.
Series: EAA Series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Kyprianou, Andreas E.
Gerber-Shiu risk theory.
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Andreas E Kyprianou
ISBN: 9783319023038 3319023039
OCLC Number: 861966675
Description: 1 online resource (viii, 93 pages) : illustrations.
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.
Series Title: EAA Series.
Responsibility: Andreas E. Kyprianou.

Abstract:

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  Read more...

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From the book reviews: "The book under review gives a modern perspective on the problems in ruin theory in the framework of the classical Cramer-Lundberg risk model. ... This compact book combines Read more...

 
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