Titlebook: Gerber–Shiu Risk Theory; Andreas E. Kyprianou Textbook 2013 Springer International Publishing Switzerland 2013 Cramér–Lundberg Processes.G

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Perturbation-at-Maximum Strategies,In this chapter, we analyse the case in which payments are made from the surplus that are proportional to increments of the maximum. With appropriate assumptions, this perturbation to the path of the surplus may be seen as the result of taxation.

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Vertrauen als Organisationsprinzip,re . As with the case of ., we characterise the law of . when sampled at an independent and exponentially distributed time. Unlike the case of . however, this will not turn out be exponentially distributed.

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DEI

Schlussfolgerungen und Ausblick,ficit at ruin. We shall develop an idea from Chapter ., involving Bernoulli trials of excursions from the minimum, to provide an identity for the expected occupation measure until ruin of the Cramér–Lundberg process. This identity will then play a key role in identifying an expression for the Gerber–Shiu measure.

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Incommensurate

,The Gerber–Shiu Measure,ficit at ruin. We shall develop an idea from Chapter ., involving Bernoulli trials of excursions from the minimum, to provide an identity for the expected occupation measure until ruin of the Cramér–Lundberg process. This identity will then play a key role in identifying an expression for the Gerber–Shiu measure.

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Reflection Strategies,ection (or barrier) strategy consists of paying dividends out of the surplus in such a way that, for a fixed barrier .>0, any excess of the surplus above this level is instantaneously paid out. The key object of interest in this chapter is the present value of the dividends paid until ruin under force of interest.

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