On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation

DOI10.1007/s11009-011-9215-1zbMath1253.91090OpenAlexW2029369614MaRDI QIDQ1930455

Hu Yang, Hailiang Yang, Zhimin Zhang

Publication date: 11 January 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9215-1

zbMATH Keywords

Laplace transformjump-diffusionGerber-Shiu functiondefective renewal equation

Mathematics Subject Classification ID

Related Items (16)

Markov-dependent risk model with multi-layer dividend strategy ⋮ On a perturbed compound Poisson model with varying premium rates ⋮ On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion ⋮ On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula ⋮ A note on deficit analysis in dependency models involving Coxian claim amounts ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On a discrete-time risk model with time-dependent claims and impulsive dividend payments ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence ⋮ On a discrete-time risk model with general income and time-dependent claims ⋮ Unnamed Item ⋮ A note on compound renewal risk models with dependence

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