Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps (Q3295903): Difference between revisions

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English	Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps	scientific article

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scholarly article

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title

Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps (English)

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3 July 2020

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full work available at URL

https://arxiv.org/abs/2006.07463

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zbMATH Keywords

approximation

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fluctuation theory

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Gerber-Shiu function

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heavy-tailed claim sizes

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perturbation

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phase-type distribution

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MaRDI profile type

MaRDI publication profile

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cites work

A Direct Approach to the Discounted Penalty Function

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Q3560912

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Russian and American put options under exponential phase-type Lévy models.

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The surplus prior to ruin and the deficit at ruin for a correlated risk process

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A note on scale functions and the time value of ruin for Lévy insurance risk processes

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

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A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections

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The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.

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Q4343010

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Potential measures for spectrally negative Markov additive processes with applications in ruin theory

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An Introduction to Heavy-Tailed and Subexponential Distributions

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On the Time Value of Ruin

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The Time Value of Ruin in a Sparre Andersen Model

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The ruin problem in a renewal risk model with two-sided jumps

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Potential measures of one-sided Markov additive processes with reflecting and terminating barriers

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Occupation densities in solving exit problems for Markov additive processes and their reflections

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The time to ruin for a class of Markov additive risk process with two-sided jumps

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The Gerber-Shiu penalty functions for two classes of renewal risk processes

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Perturbation theory for linear operators.

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Gerber-Shiu risk theory

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The expected discounted penalty function under a risk model with stochastic income

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

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The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion

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On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case

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Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

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On the time to ruin and the deficit at ruin in a risk model with double-sided jumps

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The perturbed compound Poisson risk model with two-sided jumps

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Identifiers

zbMATH Open document ID

1451.60087

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DOI

10.1080/15326349.2020.1717344

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:3295903

@@ Property / cites work @@
+A Direct Approach to the Discounted Penalty Function
+Normal rank
@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+The surplus prior to ruin and the deficit at ruin for a correlated risk process
+Normal rank
@@ Property / cites work @@
+A note on scale functions and the time value of ruin for Lévy insurance risk processes
+Normal rank
@@ Property / cites work @@
+On a generalization of the Gerber-Shiu function to path-dependent penalties
+Normal rank
@@ Property / cites work @@
+A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections
+Normal rank
@@ Property / cites work @@
+The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Potential measures for spectrally negative Markov additive processes with applications in ruin theory
+Normal rank
@@ Property / cites work @@
+An Introduction to Heavy-Tailed and Subexponential Distributions
+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 @@
+The Time Value of Ruin in a Sparre Andersen Model
@@ Property / cites work: The Time Value of Ruin in a Sparre Andersen Model / rank @@
+Normal rank
@@ Property / cites work @@
+The ruin problem in a renewal risk model with two-sided jumps
+Normal rank
@@ Property / cites work @@
+Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
+Normal rank
@@ Property / cites work @@
+Occupation densities in solving exit problems for Markov additive processes and their reflections
+Normal rank
@@ Property / cites work @@
+The time to ruin for a class of Markov additive risk process with two-sided jumps
+Normal rank
@@ Property / cites work @@
+The Gerber-Shiu penalty functions for two classes of renewal risk processes
+Normal rank
@@ Property / cites work @@
+Perturbation theory for linear operators.
@@ Property / cites work: Perturbation theory for linear operators. / rank @@
+Normal rank
@@ Property / cites work @@
+Gerber-Shiu risk theory
@@ Property / cites work: Gerber-Shiu risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+The expected discounted penalty function under a risk model with stochastic income
+Normal rank
@@ Property / cites work @@
+The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
+Normal rank
@@ Property / cites work @@
+On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case
+Normal rank
@@ Property / cites work @@
+Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
+Normal rank
@@ Property / cites work @@
+On the time to ruin and the deficit at ruin in a risk model with double-sided jumps
+Normal rank
@@ Property / cites work @@
+The perturbed compound Poisson risk model with two-sided jumps
+Normal rank