A Direct Approach to the Discounted Penalty Function
From MaRDI portal
Publication:3088982
DOI10.1080/10920277.2010.10597599zbMath1219.91063MaRDI QIDQ3088982
Hans U. Gerber, Hailiang Yang, Hansjoerg Albrecher
Publication date: 23 August 2011
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://serval.unil.ch/resource/serval:BIB_34C00F94A9C8.P001/REF.pdf
62P05: Applications of statistics to actuarial sciences and financial mathematics
60K10: Applications of renewal theory (reliability, demand theory, etc.)
Related Items
A note on deficit analysis in dependency models involving Coxian claim amounts, Ruin under stochastic dependence between premium and claim arrivals, The Erlang(n) risk model with two-sided jumps and a constant dividend barrier, Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior, Discussion on “On Cramér’s First Contributions to Ruin Theory,” by Ennio Badolati and Sandra Ciccone, Volume 21(2), Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes, On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model, The Gerber-Shiu function and the generalized Cramér-Lundberg model, On a class of stochastic models with two-sided jumps, Obtaining the dividends-penalty identities by interpretation, On ruin probabilities with risky investments in a stock with stochastic volatility, The first passage time problem for mixed-exponential jump processes with applications in insurance and finance, Valuing equity-linked death benefits in jump diffusion models, Blockchain mining in pools: analyzing the trade-off between profitability and ruin, On the threshold dividend strategy for a generalized jump-diffusion risk model, Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps, Lévy risk model with two-sided jumps and a barrier dividend strategy, On ruin probabilities with investments in a risky asset with a regime-switching price, Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps, The Gerber-Shiu discounted penalty function: a review from practical perspectives, On the Gerber–Shiu function with random discount rate, Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps
Cites Work
- Unnamed Item
- On the Gerber-Shiu function and change of measure
- Obtaining the dividends-penalty identities by interpretation
- Risk theory for the compound Poisson process that is perturbed by diffusion
- The expected discounted penalty at ruin in the risk process with random income
- Weak convergence approach to compound Poisson risk processes perturbed by diffusion
- On the time to ruin and the deficit at ruin in a risk model with double-sided jumps
- A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
- The expected discounted penalty function under a risk model with stochastic income
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- Risk process with random income
- The perturbed compound Poisson risk model with two-sided jumps
- A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
- First passage times of a jump diffusion process
- First-exit times for compound poisson processes for some types of positive and negative jumps
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- On the expectation of total discounted operating costs up to default and its applications
- Fitting combinations of exponentials to probability distributions
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
- The time to ruin for a class of Markov additive risk process with two-sided jumps
- The Workload in the M/G/1 Queue with Work Removal
- A Note on Negative Customers, GI/G/1 Workload, and Risk Processes
- On the Time Value of Ruin