In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect …
No Inv.: 88500-88502/P/Perp/04/3c
No Inv.: 115649/P/Perp/09/1c
No Inv.: 133940/SM/Perp/13/1c
Bibliografi : hlm. 423-427No Inv.: 144137/PH/Perp/14/1c
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 defic…
No Inv.: 11580-11584/Pb/Perp/93/5c~5117-5121/P/Perp/92/4c