Gerber–Shiu Risk Theory: EAA Series
Autor Andreas E. Kyprianouen Limba Engleză Paperback – 16 oct 2013
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.
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Specificații
ISBN-13: 9783319023021
ISBN-10: 3319023020
Pagini: 100
Ilustrații: VIII, 93 p. 7 illus., 3 illus. in color.
Dimensiuni: 155 x 235 x 20 mm
Greutate: 0.16 kg
Ediția:2013
Editura: Springer International Publishing
Colecția Springer
Seria EAA Series
Locul publicării:Cham, Switzerland
ISBN-10: 3319023020
Pagini: 100
Ilustrații: VIII, 93 p. 7 illus., 3 illus. in color.
Dimensiuni: 155 x 235 x 20 mm
Greutate: 0.16 kg
Ediția:2013
Editura: Springer International Publishing
Colecția Springer
Seria EAA Series
Locul publicării:Cham, Switzerland
Public țintă
GraduateCuprins
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.
Recenzii
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)
“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)
Textul de pe ultima copertă
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.
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.
Caracteristici
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