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Gerber–Shiu Risk Theory · Study

BookGerber–Shiu Risk Theory

Andreas E. Kyprianou2013

Book2013

Gerber–Shiu Risk Theory

Andreas E. Kyprianou

80 citations·0/0 files stored·EAA series

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

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References

1999Continuous Martingales and Brownian Motion 1994Modelling of extremal events in insurance and finance 1998On the Time Value of Ruin 1976Stochastic Processes in Queueing Theory 1995Option pricing by Esscher transforms.1997Controlled diffusion models for optimal dividend pay-out 1932On the probability function in the collective theory of risk 1995Optimization of the flow of dividends

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2016Alpha-robust mean-variance reinsurance-investment strategy

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2012Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processesarticle · 9 shared references 2009Strategies for Dividend Distribution: A Reviewarticle · 8 shared references 2011On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty functionpreprint · 8 shared references 2009Optimality results for dividend problems in insurancearticle · 7 shared references 2011Optimality of the threshold dividend strategy for the compound Poisson modelarticle · 7 shared references 2009A note on scale functions and the time value of ruin for Lévy insurance risk processesarticle · 7 shared references

Details

Year2013

Typebook

Published2013-01-01

VenueEAA series

ISSN-L1869-6929

Languageen

Citations80

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/978-3-319-02303-8

openalex_workW657992643

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