Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Abstract
2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin, and the Gerber-Shiu penalty function as a generalization of these measures. We discuss results on these measures for classical and perturbed classical risk processes
