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Gerber-Shiu Risk Theory
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...
| Call Number: | Libro Electrónico |
|---|---|
| Main Author: | |
| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | Inglés |
| Published: |
Cham :
Springer International Publishing : Imprint: Springer,
2013.
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| Edition: | 1st ed. 2013. |
| Series: | EAA Series,
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| Subjects: | |
| Online Access: | Texto Completo |
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.