A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium

DOI10.1016/j.insmatheco.2011.01.006zbMath1229.91157OpenAlexW2081808408MaRDI QIDQ2276247

Eric C. K. Cheung

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/134718

zbMATH Keywords

Gerber-Shiu functiongeneralized penalty functionSparre Andersen modeldividend strategyabsolute ruinsurplus-dependent premium rate

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (15)

A note on deficit analysis in dependency models involving Coxian claim amounts ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ A note on discounted compound renewal sums under dependency ⋮ On the analysis of a general class of dependent risk processes ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion ⋮ A generalized penalty function for a class of discrete renewal processes ⋮ Gerber-Shiu analysis with two-sided acceptable levels

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