On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion

DOI10.1186/S13662-015-0378-XMaRDI QIDQ318682zbMATH OpenOpenAlexWikidataFDO

Authors Zhimin Zhang, Chao-Lin Liu

Publication date 5 October 2016

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-015-0378-x

zbMATH Keywords

Laplace transformintegral equationscombination of exponentialsgeneralized Gerber-Shiu function

Mathematics Subject Classification ID

Diffusion processes (60J60) Laplace transform (44A10)

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Cites work

• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Fitting combinations of exponentials to probability distributions
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• Introductory lectures on fluctuations of Lévy processes with applications.
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
• On the Time Value of Ruin
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the expectation of total discounted operating costs up to default and its applications
• On the time to ruin for Erlang(2) risk processes.
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion

Cited in

(8)

• scientific article; zbMATH DE number 5846722 (Why is no real title available?)
• Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• The Gerber-Shiu function in a risk model perturbed by diffusion
• On a perturbed compound Poisson model with varying premium rates
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate

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