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

DOI10.1016/j.cam.2009.11.004zbMath1222.91024OpenAlexW1964170726MaRDI QIDQ847238

Lanpeng Ji, Chun-sheng Zhang

Publication date: 12 February 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.11.004

zbMATH Keywords

phase-type distributionGerber-Shiu penalty functiongeneralized Lundberg's fundamental equationrational familytwo classes of renewal risk processes

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (10)

The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The phase-type risk model perturbed by diffusion under a threshold dividend strategy ⋮ The discounted penalty function with multi-layer dividend strategy in the phase-type risk model ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ The maximum surplus before ruin for two classes of perturbed risk model ⋮ A matrix operator approach to a risk model with two classes of claims ⋮ Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds ⋮ A Risk Model Based on Markov Chains with Marked Transitions ⋮ Unnamed Item ⋮ The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds

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