Some Remarks on Delayed Renewal Risk Models

DOI10.2143/AST.40.1.2049225zbMath1230.91083OpenAlexW2021672805MaRDI QIDQ3569711

Jae-Kyung Woo

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.40.1.2049225

zbMATH Keywords

Gerber-Shiu functionlast interclaim timedelayed renewal risk modellast ladder heightCramér's asymptotic ruin formula

Mathematics Subject Classification ID

Related Items (13)

On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ Moments of renewal shot-noise processes and their applications ⋮ On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ 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 ⋮ A note on discounted compound renewal sums under dependency ⋮ 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 ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps ⋮ A generalized penalty function for a class of discrete renewal processes

Cites Work

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• On the discounted penalty function in the renewal risk model with general interclaim times
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Aspects of risk theory
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Dependent Risk Models with Bivariate Phase-Type Distributions
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• The Time Value of Ruin in a Sparre Andersen Model

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