Gerber–Shiu Risk Theory

• Main Author: Kyprianou, Andreas E. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2013.
• Series: EAA Series,
• Subjects: Mathematics.; Actuarial science.; Probabilities.; Probability Theory and Stochastic Processes.; Actuarial Sciences.

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...