A note on killing with applications in risk theory

DOI10.1016/J.INSMATHECO.2012.10.005MaRDI QIDQ2252276zbMATH OpenOpenAlexFDO

Authors Jevgenijs Ivanovs

Publication date 16 July 2014

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.10.005

zbMATH Keywords

defective processdeficit at ruinGerber-Shiu penalty functionkillingmodulationphase-type distributionruin probabilitytime to ruintransform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited in

(7)

• On the randomized Schmitter problem
• Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
• Exit identities for Lévy processes observed at Poisson arrival times
• Number of jumps in two-sided first-exit problems for a compound Poisson process
• On the bailout dividend problem for spectrally negative Markov additive models
• Exact boundaries in sequential testing for phase-type distributions
• On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models

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