A Direct Approach to the Discounted Penalty Function (Q3088982): Difference between revisions

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-Hansjoerg Albrecher
@@ Property / author: Hansjoerg Albrecher / rank @@
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+Hansjoerg Albrecher
@@ Property / author: Hansjoerg Albrecher / rank @@
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+MaRDI publication profile
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+W2047453295
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+The expected discounted penalty at ruin in the risk process with random income
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+The Workload in the M/G/1 Queue with Work Removal
@@ Property / cites work: The Workload in the M/G/1 Queue with Work Removal / rank @@
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+A Note on Negative Customers, GI/G/1 Workload, and Risk Processes
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+On the expectation of total discounted operating costs up to default and its applications
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+Fitting combinations of exponentials to probability distributions
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+Risk theory for the compound Poisson process that is perturbed by diffusion
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@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
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+A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
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+The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
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+On the Time Value of Ruin
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+Obtaining the dividends-penalty identities by interpretation
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+The time to ruin for a class of Markov additive risk process with two-sided jumps
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+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
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+The expected discounted penalty function under a risk model with stochastic income
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+PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
@@ Property / cites work: PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES / rank @@
+Normal rank
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+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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+First-exit times for compound poisson processes for some types of positive and negative jumps
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+Weak convergence approach to compound Poisson risk processes perturbed by diffusion
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+On the Gerber-Shiu function and change of measure
@@ Property / cites work: On the Gerber-Shiu function and change of measure / rank @@
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+Risk process with random income
@@ Property / cites work: Risk process with random income / rank @@
+Normal rank
@@ Property / cites work @@
+On the time to ruin and the deficit at ruin in a risk model with double-sided jumps
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+A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
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+The perturbed compound Poisson risk model with two-sided jumps
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+Publication:3088982