On a general class of renewal risk process: analysis of the Gerber-Shiu function
From MaRDI portal
Recommendations
- A generalized penalty function for a class of discrete renewal processes
- On the discounted penalty function in the renewal risk model with general interclaim times
- A note on a class of delayed renewal risk processes
- On a class of discrete time renewal risk models
- The Gerber-Shiu penalty functions for two classes of renewal risk processes
Cites work
- A laplace transform representation in a class of renewal queueing and risk processes
- Analysis of a defective renewal equation arising in ruin theory
- scientific article; zbMATH DE number 3113174 (Why is no real title available?)
- scientific article; zbMATH DE number 3736680 (Why is no real title available?)
- scientific article; zbMATH DE number 3755546 (Why is no real title available?)
- scientific article; zbMATH DE number 805121 (Why is no real title available?)
- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
- On a Class of Renewal Risk Processes
- On ruin for the Erlang \((n)\) risk process
- On the time to ruin for Erlang(2) risk processes.
- On the Time Value of Ruin
- Ruin probabilities for Erlang (2) risk processes
- 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
Cited in
(75)- A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
- The distribution of total dividend payments in a Sparre Andersen model
- Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
- On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
- Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
- On the improved thinning risk model under a periodic dividend barrier strategy
- An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
- Maximum surplus and \(R_n\) class of distributions with an application to dividends
- On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
- On the analysis of a general class of dependent risk processes
- On the joint distribution of surplus before and after ruin under a Markovian regime switching model
- Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
- On a generalization from ruin to default in a Lévy insurance risk model
- On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
- Potential measures for spectrally negative Markov additive processes with applications in ruin theory
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- Analysis of ruin measures in a class of risk models
- The proper distribution function of the deficit in the delayed renewal risk model
- A unifying approach to the analysis of business with random gains
- On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- On the Gerber–Shiu function with random discount rate
- On the discounted penalty function in a discrete time renewal risk model with general interclaim times
- On a risk model with dependence between interclaim arrivals and claim sizes
- On a class of discrete time renewal risk models
- On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
- Some remarks on delayed renewal risk models
- Dependent Risk Models with Bivariate Phase-Type Distributions
- The Gerber-Shiu function and the generalized Cramér-Lundberg model
- Moments of renewal shot-noise processes and their applications
- Drawdown analysis for the renewal insurance risk process
- On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
- Discrete time ruin probability with Parisian delay
- A reinsurance risk model with a threshold coverage policy: the Gerber-Shiu penalty function
- Criterion of semi-Markov dependent risk model
- An insurance risk model with Parisian implementation delays
- Fourier-cosine method for finite-time Gerber-Shiu functions
- On the expected discounted penalty function for Lévy risk processes
- The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
- The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
- Author's reply: ``On the Laplace transform of the aggregate discounted claims with Markovian arrivals -- discussion by Professor Elias Shiu, April 2008
- The time of recovery and the maximum severity of ruin in a Sparre Andersen model
- On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
- Application of advanced integrodifferential equations in insurance mathematics and process engineering
- Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
- The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
- Computing the Gerber-Shiu function by frame duality projection
- Gerber-Shiu analysis with a generalized penalty function.
- A class of Sparre Andersen risk process
- Determining exact survival probability by setting discrete random variables in E. Sparre Andersen's model
- A Simple and Complete Solution to the Stationary Queue-Length Probabilities of a Bulk-Arrival Bulk-Service Queue
- The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
- The two-barrier escape problem for compound renewal processes with two-sided jumps
- On an insurance ruin model with a causal dependence structure and perturbation
- On the total operating costs up to default in a renewal risk model
- On the Gerber-Shiu function and change of measure
- Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
- Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
- An algebraic operator approach to the analysis of Gerber-Shiu functions
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
- On a class of stochastic models with two-sided jumps
- Some stochastic orders and reliability properties for compound geometric distributions, their convolutions, and other ruin-related quantities
- The Gerber-Shiu penalty function for a two-sided renewal risk process perturbed by diffusion
- On the discounted penalty function in a Markov-dependent risk model
- The Gerber-Shiu penalty functions for two classes of renewal risk processes
- A note on a class of delayed renewal risk processes
- Weak convergence approach to compound Poisson risk processes perturbed by diffusion
- Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
- Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
- On the analysis of ruin-related quantities in the delayed renewal risk model
- Constant dividend barrier in a risk model with interclaim-dependent claim sizes
- The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
- On the discounted penalty function in the renewal risk model with general interclaim times
- On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
This page was built for publication: On a general class of renewal risk process: analysis of the Gerber-Shiu function
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697205)
