Risk theory and reinsurance. Translated from the French by Urmie Ray (Q371431)

The book was written by two well-known actuarial scientists and economists. They give a very interesting mix of introductory notes to risk theory and optimal reinsurance, which were typically treated separately in existing books. The first part of the book covers basic topics in classical ruin theory, ranging from risk ordering, aggregate claim models, asymptotics of ruin probability, etc. The second part of the book focuses on the market practice of reinsurance, which introduces a variety of reinsurance contracts, such as quota-share, excess-of-loss and stop-loss. The last part of the work provides theoretical justification of such reinsurance practices by presenting results from optimal risk sharing theory in mathematical economics and actuarial methods developed in the past few decades. The optimality of excess-of-loss contract in the context of Cramer-Lundberg risk model appears to be a bridge between the classical ruin theory in Chapter 1 and the discussion of reinsurances in Chapter 3. This research monograph would be a great introductory book for graduate students and beginning researchers who want to get a glimpse of research works in these two fields, yet not to be overwhelmed by technical details. However, one should be warned that the book lacks an index list and there is a small set of notation, especially in Chapter 3, which is well understood by researchers in this field but not properly defined for beginners.