The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.

DOI10.1016/j.insmatheco.2003.08.004zbMath1103.91369OpenAlexW2031397432MaRDI QIDQ1423339

Steve Drekic, Gordon E. Willmot, X. Sheldon Lin

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.08.004

zbMATH Keywords

ruinexponential distributionmixture of exponentialsintegro-differential equationrenewal equationsurplus before ruindeficit at ruintime of ruinLundberg equationcompound geometricstationary renewal risk processSparre Andersen process

Mathematics Subject Classification ID

Qualitative investigation and simulation of models involving functional-differential equations (34K60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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• On the Time Value of Ruin
• On a Class of Renewal Risk Processes

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