A note on Gerber-Shiu functions with an application

DOI10.1007/978-3-319-06653-0_4MaRDI QIDQ3193125zbMATH OpenOpenAlexFDO

Authors Hanspeter Schmidli

Publication date 15 October 2015

Published in EAA Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-06653-0_4

zbMATH Keywords

capital injectionscompound Poisson risk modelGerber-Shiu functionsLaplace transform

Mathematics Subject Classification ID

Laplace transform (44A10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Recommendations

• Gerber-Shiu analysis of a risk model with capital injections
• Extended Gerber-Shiu functions in a risk model with interest
• On the Gerber-Shiu function and change of measure
• The Geber-Shiu discounted penalty function in with Poisson-Geometric risk model
• On the compound Poisson risk model with periodic capital injections

Cites work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Large deviations results for subexponential tails, with applications to insurance risk
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On the Distribution of the Surplus Prior and at Ruin
• On the Gerber-Shiu function and change of measure
• On the moments and limit distributions of some first passage times
• On the Time Value of Ruin
• Optimal control of capital injections by reinsurance in a diffusion approximation
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin

Cited in

(8)

• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• Extended Gerber-Shiu functions in a risk model with interest
• Gerber-Shiu analysis of a risk model with capital injections
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
• PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
• On the compound Poisson risk model with periodic capital injections
• On the Gerber-Shiu function and change of measure

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