Calculating the Gerber-Shiu function for Sparre Andersen process via collocation method

DOI10.1016/J.SPL.2025.110633MaRDI QIDQ7255808zbMATH OpenFDO

Authors Zan Yu

Publication date 1 June 2026

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110633

zbMATH Keywords

collocation methodconvergence ordersGerber-Shiu functionSparre Andersen model

Mathematics Subject Classification ID

Special processes (60Kxx) Numerical methods for integral equations, integral transforms (65Rxx) Mathematical economics (91Bxx)

Cites work

• A new collocation method for solution of mixed linear integro-differential-difference equations
• A note on the maximum severity of ruin in an Erlang(n) risk process
• Collocation and iterated collocation methods for a class of weakly singular Volterra integral equations
• Collocation method with convergence for generalized fractional integro-differential equations
• Collocation methods for fractional integro-differential equations with weakly singular kernels
• Further developments in the Erlang(\textit{n}) risk process
• On ruin for the Erlang \((n)\) risk process
• On the time to ruin for Erlang(2) risk processes.
• On the Time Value of Ruin
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• The expected discounted penalty at ruin in the Erlang (2) risk process
• The Time Value of Ruin in a Sparre Andersen Model
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003

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