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Gerber–Shiu Risk Theory

  • Andreas E. Kyprianou

Part of the EAA Series book series (EAAS)

Table of contents

  1. Front Matter
    Pages I-VIII
  2. Andreas E. Kyprianou
    Pages 1-8
  3. Andreas E. Kyprianou
    Pages 9-15
  4. Andreas E. Kyprianou
    Pages 17-26
  5. Andreas E. Kyprianou
    Pages 27-35
  6. Andreas E. Kyprianou
    Pages 37-43
  7. Andreas E. Kyprianou
    Pages 45-55
  8. Andreas E. Kyprianou
    Pages 57-65
  9. Andreas E. Kyprianou
    Pages 67-78
  10. Andreas E. Kyprianou
    Pages 79-89
  11. Back Matter
    Pages 91-93

About this book

Introduction

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.

Keywords

Cramér–Lundberg Processes Gerber-Shiu Function Lévy Processes Ruin Theory

Authors and affiliations

  • Andreas E. Kyprianou
    • 1
  1. 1.Department of Mathematical SciencesUniversity of BathBathUnited Kingdom

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-02303-8
  • Copyright Information Springer International Publishing Switzerland 2013
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-02302-1
  • Online ISBN 978-3-319-02303-8
  • Series Print ISSN 1869-6929
  • Series Online ISSN 1869-6937
  • Buy this book on publisher's site