Gerber-Shiu analysis of a risk model with capital injections

DOI10.1007/s13385-016-0131-1zbMath1394.91209OpenAlexW2470933446MaRDI QIDQ2356638

David C. M. Dickson, Marjan Qazvini

Publication date: 6 June 2017

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-016-0131-1

zbMATH Keywords

ruin probabilityexponential claimscapital injectionsGerber-Shiu functionnumber of claims until ruinfinite time ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (6)

On a time-changed Lévy risk model with capital injections and periodic observation ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On the time to ruin for a dependent delayed capital injection risk model ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ Ruin probabilities under capital constraints

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