On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income

DOI10.1016/j.cam.2014.03.011zbMath1291.91108OpenAlexW2043893308MaRDI QIDQ2252249

Liyuan Wu, Jianwei Gao

Publication date: 16 July 2014

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.2014.03.011

zbMATH Keywords

Laplace transformby-claimauxiliary modelRouché theoremLagrange interpolation theorem

Mathematics Subject Classification ID

Related Items (5)

On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Unnamed Item ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier

Cites Work

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• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• Asymptotic analysis of a risk process with high dividend barrier
• The compound binomial risk model with time-correlated claims
• A risk model with paying dividends and random environment
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• Ruin probabilities for time-correlated claims in the compound binomial model.
• On the expected discounted penalty function at ruin of a surplus process with interest.
• The compound binomial risk model with delayed claims and random income
• Analysis of a defective renewal equation arising in ruin theory
• On the expected discounted penalty functions for two classes of risk processes
• On Ultimate Ruin in a Delayed-Claims Risk Model
• On the Time Value of Ruin

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