The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
From MaRDI portal
Publication:1413408
DOI10.1016/S0167-6687(03)00129-XzbMath1072.91027OpenAlexW2088549373MaRDI QIDQ1413408
Gordon E. Willmot, David C. M. Dickson
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00129-x
Laplace transformdeficit at ruinsurplus prior to ruindefective renewal equationdiscounted penalty functionSparre Andersen modelordinary renewal risk modelLundberg's fundamental equationstationary renewal risk process
Related Items (34)
On the discounted distribution functions for the Erlang(2) risk process ⋮ On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ Moments of renewal shot-noise processes and their applications ⋮ The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate ⋮ A note on a class of delayed renewal risk processes ⋮ Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend ⋮ The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions ⋮ On the analysis of ruin-related quantities in the delayed renewal risk model ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy ⋮ The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. ⋮ Asymptotics in a time-dependent renewal risk model with stochastic return ⋮ On a class of renewal risk model with random income ⋮ The Time Value of Ruin in a Sparre Andersen Model ⋮ Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model ⋮ On the expected discounted penalty function for the continuous-time compound binomial risk model ⋮ On the Gerber-Shiu discounted penalty function for subexponential claims ⋮ Some Remarks on Delayed Renewal Risk Models ⋮ Number of claims and ruin time for a refracted risk process ⋮ A class of delayed renewal risk processes with a threshold dividend strategy ⋮ On a class of renewal risk models with a constant dividend barrier ⋮ The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function ⋮ On the discounted \(K\)th moment of the deficit at ruin in the delayed renewal risk model ⋮ The compound Poisson risk model with a threshold dividend strategy ⋮ The Compound Poisson Risk Model with Interest and a Threshold Strategy ⋮ On the renewal risk model under a threshold strategy ⋮ Unnamed Item ⋮ The proper distribution function of the deficit in the delayed renewal risk model ⋮ A generalized penalty function for a class of discrete renewal processes ⋮ A unifying approach to the analysis of business with random gains ⋮ The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion ⋮ Some results on the compound Markov binomial model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The surpluses immediately before and at ruin, and the amount of the claim causing ruin
- Aspects of risk theory
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- On the time to ruin for Erlang(2) risk processes.
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- Lundberg approximations for compound distributions with insurance applications
- Analysis of a defective renewal equation arising in ruin theory
- On the Distribution of the Deficit at Ruin when Claims are Phase-type
- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
- On the Time Value of Ruin
This page was built for publication: The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
