Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion (Q6163060): Difference between revisions

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scientific article; zbMATH DE number 7697089

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English	Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion	scientific article; zbMATH DE number 7697089

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instance of

scholarly article

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title

Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion (English)

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zbMATH Open document ID

1518.91216

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DOI

10.1017/s0269964822000080

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Probability in the Engineering and Informational Sciences

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publication date

16 June 2023

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Mathematics Subject Classification ID

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discounted claims until ruin

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discounted perturbation

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expected discounted penalty function

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insurance risk model

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joint moments

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1017/s0269964822000080

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0 references

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On a generalization of the Gerber-Shiu function to path-dependent penalties

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Q4836494

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Ruin probabilities and penalty functions with stochastic rates of interest

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On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion

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Ruin in the perturbed compound Poisson risk process under interest force

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On the expectation of total discounted operating costs up to default and its applications

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Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times

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A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model

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On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes

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Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

0 references

Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

0 references

On the time to ruin for Erlang(2) risk processes.

0 references

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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Q2801426

0 references

On the total operating costs up to default in a renewal risk model

0 references

On a generalization from ruin to default in a Lévy insurance risk model

0 references

On The Expected Discounted Penalty function for Lévy Risk Processes

0 references

On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

0 references

On the Time Value of Ruin

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Mathematical methods for financial markets.

0 references

Gerber-Shiu risk theory

0 references

On ruin for the Erlang \((n)\) risk process

0 references

The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion

0 references

On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion

0 references

Differentiation of some functionals of risk processes, and optimal reserve allocation

0 references

Ruin theory with stochastic return on investments

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Q4004226

0 references

On the discounted distribution functions of the surplus process perturbed by diffusion.

0 references

On the expectations of the present values of the time of ruin perturbed by diffusion.

0 references

A generalized defective renewal equation for the surplus process perturbed by diffusion.

0 references

On the moments of the surplus process perturbed by diffusion.

0 references

Distributions for the risk process with a stochastic return on investments.

0 references

Some Remarks on Delayed Renewal Risk Models

0 references

Gerber-Shiu analysis with two-sided acceptable levels

0 references

On differentiability of ruin functions under Markov-modulated models

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6163060

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+On a generalization of the Gerber-Shiu function to path-dependent penalties
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@@ Property / cites work @@
+Q4836494
@@ Property / cites work: Q4836494 / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin probabilities and penalty functions with stochastic rates of interest
+Normal rank
@@ Property / cites work @@
+On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion
+Normal rank
@@ Property / cites work @@
+Ruin in the perturbed compound Poisson risk process under interest force
+Normal rank
@@ Property / cites work @@
+On the expectation of total discounted operating costs up to default and its applications
+Normal rank
@@ Property / cites work @@
+Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
+Normal rank
@@ Property / cites work @@
+A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
+Normal rank
@@ Property / cites work @@
+On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
+Normal rank
@@ Property / cites work @@
+Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
+Normal rank
@@ Property / cites work @@
+Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
+Normal rank
@@ Property / cites work @@
+On the time to ruin for Erlang(2) risk processes.
@@ Property / cites work: On the time to ruin for Erlang(2) risk processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Fitting combinations of exponentials to probability distributions
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Q2801426
@@ Property / cites work: Q2801426 / rank @@
+Normal rank
@@ Property / cites work @@
+On the total operating costs up to default in a renewal risk model
+Normal rank
@@ Property / cites work @@
+On a generalization from ruin to default in a Lévy insurance risk model
+Normal rank
@@ Property / cites work @@
+On The Expected Discounted Penalty function for Lévy Risk Processes
+Normal rank
@@ Property / cites work @@
+On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
+Normal rank
@@ Property / cites work @@
+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Gerber-Shiu risk theory
@@ Property / cites work: Gerber-Shiu risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+On ruin for the Erlang \((n)\) risk process
@@ Property / cites work: On ruin for the Erlang \((n)\) risk process / rank @@
+Normal rank
@@ Property / cites work @@
+The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Differentiation of some functionals of risk processes, and optimal reserve allocation
+Normal rank
@@ Property / cites work @@
+Ruin theory with stochastic return on investments
@@ Property / cites work: Ruin theory with stochastic return on investments / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004226
@@ Property / cites work: Q4004226 / rank @@
+Normal rank
@@ Property / cites work @@
+On the discounted distribution functions of the surplus process perturbed by diffusion.
+Normal rank
@@ Property / cites work @@
+On the expectations of the present values of the time of ruin perturbed by diffusion.
+Normal rank
@@ Property / cites work @@
+A generalized defective renewal equation for the surplus process perturbed by diffusion.
+Normal rank
@@ Property / cites work @@
+On the moments of the surplus process perturbed by diffusion.
+Normal rank
@@ Property / cites work @@
+Distributions for the risk process with a stochastic return on investments.
+Normal rank
@@ Property / cites work @@
+Some Remarks on Delayed Renewal Risk Models
@@ Property / cites work: Some Remarks on Delayed Renewal Risk Models / rank @@
+Normal rank
@@ Property / cites work @@
+Gerber-Shiu analysis with two-sided acceptable levels
+Normal rank
@@ Property / cites work @@
+On differentiability of ruin functions under Markov-modulated models
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6163060