Overview
- 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
Part of the book series: EAA Series (EAAS)
Access this book
Tax calculation will be finalised at checkout
Other ways to access
Table of contents (9 chapters)
-
Front Matter
-
Back Matter
Keywords
About this book
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.
Reviews
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)
Authors and Affiliations
Bibliographic Information
Book Title: Gerber–Shiu Risk Theory
Authors: Andreas E. Kyprianou
Series Title: EAA Series
DOI: https://doi.org/10.1007/978-3-319-02303-8
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2013
Softcover ISBN: 978-3-319-02302-1Published: 16 October 2013
eBook ISBN: 978-3-319-02303-8Published: 02 October 2013
Series ISSN: 1869-6929
Series E-ISSN: 1869-6937
Edition Number: 1
Number of Pages: VIII, 93
Number of Illustrations: 4 b/w illustrations, 3 illustrations in colour
Topics: Probability Theory and Stochastic Processes, Actuarial Sciences